On the Martingale Representation Theorem and Approximate Hedging a Contingent Claim in the Minimum Mean Square Deviation Criterion

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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Year of publication:	2009
Authors:	Huu, Nguyen Van
Other Persons:	Vuong, Quan Hoang (contributor)
Publisher:	[2009]: [S.l.] : SSRN
Subject:	Hedging \| Martingal \| Martingale \| Schätztheorie \| Estimation theory \| Optionspreistheorie \| Option pricing theory

Extent:	1 Online-Ressource (12 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: VNU Journal of Science, Mathematics & Physics , Vol. 23, pp. 143-154, 2007 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 15, 2007 erstellt
Classification:	C00 - Mathematical and Quantitative Methods. General ; C02 - Mathematical Methods ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013157546