SOME NOTES ABOUT THE MARTINGALE REPRESENTATION THEOREM AND THEIR APPLICATIONS

DOI10.15826/umj.2020.2.008zbMath1461.91312OpenAlexW3118172846MaRDI QIDQ4986293

Reza Habibi

Publication date: 27 April 2021

Published in: Ural Mathematical Journal (Search for Journal in Brave)

Full work available at URL: http://mathnet.ru/eng/umj128

zbMATH Keywords

simulationsensitivity analysisconditional expectationserial correlationderivative pricingmartingale representation theoremoptimal hedge ratiostochastic dynamic

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

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