Title: A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes
Authors: Yuto Imai - Tokyo Metropolitan University (Japan) [presenting]
Takuji Arai - Keio University (Japan)
Abstract: The focus is on a 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 none is suited to develop numerical methods of the values of strategies for any given time up to the maturity. We aim to derive a new explicit closed-form representation, which enables us to develop an efficient numerical method using the fast Fourier transforms. Note that our representation is described in terms of Malliavin derivatives. In addition, we illustrate numerical results for exponential Levy models.