Some notes about the martingale representation theorem and their applications

DOI10.15826/UMJ.2020.2.008MaRDI QIDQ4986293zbMATH OpenOpenAlexFDO

Authors Reza Habibi

Publication date 27 April 2021

Published in Ural mathematical journal (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL http://mathnet.ru/eng/umj128

zbMATH Keywords

serial correlationsensitivity analysissimulationconditional expectationderivative pricingmartingale representation theoremoptimal hedge ratiostochastic dynamic

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Martingales with continuous parameter (60G44)

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Cited in

(1)

• A representation theorem for smooth Brownian martingales

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