论文信息 - Martingale representation and hedging policies

Martingale representation and hedging policies

The integrand, when a martingale under an equivalent measure is represented as a stochastic integral, is determined by elementary methods in the Markov situation. Applications to hedging portfolios in finance are described.

Robert J. Elliott | P. E. Kopp | R. Elliott | P. Ekkehard Kopp | David B. Colwell

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