A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus


We focus on mean-variance hedging problem for models whose asset price follows an exponential additive process. Some representations of mean-variance hedging strategies for jump type models have already been suggested, but... [ view full abstract ]


  1. Takuji Arai (Keio University)
  2. Yuto Imai (Waseda University)

Topic Areas

Hedging , Numerical Methods , Options


MO-P-SW » Stochastic Processes (14:30 - Monday, 16th July, Swift)

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