User: Guest  Login
Title:

Variance-Optimal Hedging for Processes with Stationary Independent Increments

Document type:
Zeitschriftenaufsatz
Author(s):
Hubalek, F.; Kallsen, J.; Krawczyk, L.
Non-TUM Co-author(s):
ja
Cooperation:
international
Abstract:
We determine the variance-optimal hedge when the logarithm of the underlying price follows a process with stationary independent increments in discrete or continuous time. Although the general solution to this problem is known as backward recursion or backward stochastic differential equation, we show that for this class of processes the optimal endowment and strategy can be expressed more explicitly. The corresponding formulas involve the moment resp. cumulant generating function of the underly...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
The Annals of Applied Probability
Year:
2006
Journal volume:
16
Journal issue:
2
Pages contribution:
853-885
Language:
en
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
 BibTeX
versions