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On the Martingale Representation Theorem and on Approximate Hedging a Contingent Claim in the Minimum Deviation Square Criterion
In Ta-Tsien Li Rolf Jeltsch, Some Topics in Industrial and Applied Mathematics. World Scientific. pp. 134-151 (2007)
Abstract
In this work we consider the problem of the approximate hedging of a contingent claim in the minimum mean square deviation criterion. A theorem on martingale representation in case of discrete time and an application of the result for semi-continuous market model are also given.Author Profiles
Quan-Hoang Vuong
Phenikaa University
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