Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging (Q3592748)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging |
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Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging (English)
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21 September 2007
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Black-Scholes model
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Brownian functionals
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Clark-Ocone formula
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hedging
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martingale representation
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path-dependent options
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stochastic integral representation
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