Martingale representation and hedging policies
David B. Colwell,
Robert J. Elliott and
P. Ekkehard Kopp
Stochastic Processes and their Applications, 1991, vol. 38, issue 2, 335-345
Abstract:
The integrand, when a martingale under an equivalent measure is represented as a stochastic integral, is determined by elementary methods in the Markov situation. Applications to hedging portfolios in finance are described.
Keywords: martingale; representation; Girsanov's; theorem; stochastic; flow; diffusion; hedging; portfolio (search for similar items in EconPapers)
Date: 1991
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