Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging

DOI10.1080/07362990701420092zbMath1138.60041OpenAlexW2085418291MaRDI QIDQ3592748

Jean-François Renaud, Bruno Rémillard

Publication date: 21 September 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://www.archipel.uqam.ca/8261/1/Renaud-2007a-preprint.pdf

zbMATH Keywords

hedgingClark-Ocone formulaBlack-Scholes modelpath-dependent optionsmartingale representationstochastic integral representationBrownian functionals

Mathematics Subject Classification ID

Brownian motion (60J65) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items

Stochastic integral representations of the extrema of time-homogeneous diffusion processes ⋮ A discrete-time Clark-Ocone formula and its application to an error analysis ⋮ On the stochastic integral representation of Brownian functionals ⋮ Hedging portfolio for a market model of degenerate diffusions

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