Martingale representation for Poisson processes with applications to minimal variance hedging
نویسندگان
چکیده
منابع مشابه
Explicit formulas for the minimal variance hedging strategy in a martingale case
We explicitly compute closed formulas for the minimal variance hedging strategy in discrete time of a European option and for the variance of the corresponding hedging error under the hypothesis that the underlying asset is a martingale following a Geometric Brownian motion. The formulas are easy to implement, hence the optimal hedge ratio can be employed as a valid substitute of the standard B...
متن کاملVariance optimal hedging for continuous time additive processes and applications
For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is an exponential of an additive process. This allows to provide an efficient algorithm for solving the mean variance hedging problem. Applications to models derived from the electricity market are performed.
متن کاملThe Minimal Entropy Martingale Measure and Hedging in Incomplete Markets
The intent of these essays is to study the minimal entropy martingale measure, to examine some new martingale representation theorems and to discuss its related Kunita-Watanabe decompositions. Such problems arise in mathematical finance for an investor who is confronted with the issues of pricing and hedging in incomplete markets. We adopt the standpoint of a ra tional investor who principally...
متن کاملVariance Optimal Hedging for continuous time processes with independent increments and applications
For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is a process with independent increments (PII) and an exponential of a PII process. This allows to provide an efficient algorithm for solving the mean variance hedging problem. Applications to models derived from the electricity market are performed.
متن کاملMinimal Variance Hedging of Options with Student-t Underlying
I explicitly work out closed form solutions for the optimal hedging strategies (in the sense of Bouchaud and Sornette) in the case of European call options, where the underlying is modeled by (unbiased) iid additive returns with Student-t distributions. The results may serve as illustrative examples for option pricing in the presence of fat tails.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2011
ISSN: 0304-4149
DOI: 10.1016/j.spa.2011.03.014