SOME NOTES ABOUT THE MARTINGALE REPRESENTATION THEOREM AND THEIR APPLICATIONS
An important theorem in stochastic finance field is the martingale representation theorem. It is useful in the stage of making hedging strategies (such as cross hedging and replicating hedge) in the presence of different assets with different stochastic dynamics models. In the current paper, some ne...
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| Format: | Article |
| Language: | English |
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Krasovskii Institute of Mathematics and Mechanics of the Ural Branch of the Russian Academy of Sciences and Ural Federal University named after the first President of Russia B.N.Yeltsin.
2020-12-01
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| Series: | Ural Mathematical Journal |
| Online Access: | https://umjuran.ru/index.php/umj/article/view/228 |