Some notes about the martingale representation theorem and their applications

DOI10.15826/UMJ.2020.2.008zbMATH Open1461.91312OpenAlexW3118172846MaRDI QIDQ4986293FDOQ4986293

Authors: Reza Habibi 

Publication date: 27 April 2021

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

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

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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)

Cites Work

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Cited In (1)

• A representation theorem for smooth Brownian martingales

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