| dc.contributor.author |
Nguyen, Van Huu |
|
| dc.contributor.author |
Vuong, Quan Hoang |
|
| dc.date.accessioned |
2011-04-20T07:09:26Z |
|
| dc.date.available |
2011-04-20T07:09:26Z |
|
| dc.date.issued |
2007 |
|
| dc.identifier.citation |
VNU Journal of Science, Mathematics - Physics 23 (2007) 143-154 |
vi |
| dc.identifier.issn |
0866-8612 |
|
| dc.identifier.uri |
http://hdl.handle.net/123456789/1024 |
|
| dc.description |
VNU Journal of Science, Mathematics - Physics. Vol. 23 (2007), No 3, P. 143-154 |
vi |
| dc.description.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. |
vi |
| dc.language.iso |
en |
vi |
| dc.publisher |
ĐHQGHN |
vi |
| dc.subject |
Hedging |
vi |
| dc.subject |
contingent claim |
vi |
| dc.subject |
risk neutral martingale measure |
vi |
| dc.subject |
martingale representation |
vi |
| dc.title |
On the martingale representation theorem and approximate hedging a contingent claim in the minimum mean square deviation criterion |
vi |
| dc.type |
Article |
vi |