摘要翻译：
对于一类vanilla未定权益，我们建立了一个显式的F“Ollmer-Schweizer分解，当底层是一个加性过程的指数时，这为解决均值方差套期保值问题提供了一个有效的算法，并在电力市场模型中进行了应用。
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英文标题：
《Variance optimal hedging for continuous time additive processes and
  applications》
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作者：
St\'ephane Goutte (LAGA), Nadia Oudjane (FiME Lab), Francesco Russo
  (UMA)
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  For a large class of vanilla contingent claims, we establish an explicit F\"ollmer-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.
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PDF链接：
https://arxiv.org/pdf/1302.1965