A Proposition on the Martingale Representation Theorem and on the Approximate Hedging of Financial Contingent Claims
| dc.contributor.author | Farber, André | |
| dc.contributor.author | Nguyen, Van Huu | |
| dc.contributor.author | Vuong, Quan Hoang | |
| dc.date.accessioned | 2016-11-29T04:58:49Z | |
| dc.date.available | 2016-11-29T04:58:49Z | |
| dc.date.issued | 2006 | |
| dc.identifier.uri | http://ds.libol.fpt.edu.vn/handle/123456789/1998 | |
| dc.description | 7 pages | en_US |
| dc.description.abstract | Abstract: In this short communication paper, we revisit the problem of the hedging of financial contingent claims using the mean-square criterion. We prove that in incomplete market, some probability measure Q~P can be identified so that {S_n} becomes {F_n}-martingale under Q. This is in fact a new proposition on the martingale representation theorem. The new results also identify a weight function that serves to be an approximation to the Radon-Nikodým derivative of the unique neutral martingale measure Q. | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Université Libre de Bruxelles | en_US |
| dc.subject | Martingale representation theorem | en_US |
| dc.subject | Hedging | en_US |
| dc.subject | Financial contingent claim | en_US |
| dc.subject | Mean-square criterion | en_US |
| dc.title | A Proposition on the Martingale Representation Theorem and on the Approximate Hedging of Financial Contingent Claims | en_US |
| dc.type | Other | en_US |
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