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

Nguyễn Văn Hữu and Quan Hoang Vuong

No 96rst, OSF Preprints from Center for Open Science

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.

Date: 2007-05-24
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:osf:osfxxx:96rst

DOI: 10.31219/osf.io/96rst

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