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Title:
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On the martingale representation theorem and approximate hedging a contingent claim in the minimum mean square deviation criterion |
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Author:
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Nguyen, Van Huu; Vuong, Quan Hoang
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Abstract:
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In this work we consider the problem of the approximate hedging of a contingent
claim in minimum mean square deviation criterion. A theorem on martingale representation in
the case of discrete time and an application of obtained result for semi-continous market model
are given. |
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Description:
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VNU Journal of Science, Mathematics - Physics. Vol. 23 (2007), No 3, P. 143-154 |
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URI:
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http://hdl.handle.net/123456789/1024
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Date:
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2007 |