Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging (Q3592748)
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scientific article; zbMATH DE number 5194568
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| English | Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging |
scientific article; zbMATH DE number 5194568 |
Statements
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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0.8143050074577332
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0.8069015145301819
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0.7983894944190979
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0.792826235294342
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