[Keyword: Hedging] AND [All Categories: Numerical & Computational Mathematics] : Search

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chapterNo Access
On the Martingale Representation Theorem and on Approximate Hedging a Contingent Claim in the Minimum Deviation Square Criterion
- Nguyen Van Huu and
- Vuong Quan Hoang
Some Topics in Industrial and Applied Mathematics01 Aug 2007
Preview Abstract
In this work we consider the problem of the approximate hedging of a contingent claim in the minimum mean square deviation criterion. A theorem on martingale representation in case of discrete time and an application of the result for semi-continuous market model are also given.

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