%0 Journal Article
%T Variance Optimal Hedging for continuous time processes with independent increments and applications
%A St¨¦phane Goutte
%A Nadia Oudjane
%A Francesco Russo
%J Mathematics
%D 2009
%I arXiv
%X For a large class of vanilla contingent claims, we establish an explicit F\"ollmer-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.
%U http://arxiv.org/abs/0912.0372v1