On the martingale representation theorem and on approximate hedging a contingent claim in the minimum deviation square criterion

MaRDI QIDQ3632185zbMATH OpenFDO

Authors Nguyen Van Huu, Quan Hoang Vuong

Publication date 23 June 2009

zbMATH Keywords

contingent claimhedgingmartingale representationrisk neutral martingale measure

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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(6)

• Martingale representation and hedging policies
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• Some notes about the martingale representation theorem and their applications
• A new martingale representation theorem (discrete time)

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