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

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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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Title: On the martingale representation theorem and approximate hedging a contingent claim in the minimum mean square deviation criterion
Author: Nguyen, Van Huu; Vuong, Quan Hoang
Abstract: 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.
Description: VNU Journal of Science, Mathematics - Physics. Vol. 23 (2007), No 3, P. 143-154
URI: http://hdl.handle.net/123456789/1024
Date: 2007

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