SOME NOTES ABOUT THE MARTINGALE REPRESENTATION THEOREM AND THEIR APPLICATIONS (Q4986293)

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scientific article; zbMATH DE number 7339703
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SOME NOTES ABOUT THE MARTINGALE REPRESENTATION THEOREM AND THEIR APPLICATIONS
scientific article; zbMATH DE number 7339703

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    SOME NOTES ABOUT THE MARTINGALE REPRESENTATION THEOREM AND THEIR APPLICATIONS (English)
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    27 April 2021
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    conditional expectation
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    derivative pricing
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    martingale representation theorem
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    optimal hedge ratio
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    sensitivity analysis
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    serial correlation
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    simulation
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    stochastic dynamic
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