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On the Martingale Representation Theorem and on Approximate Hedging a Contingent Claim in the Minimum Deviation Square Criterion

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  • Hữu, Nguyễn Văn
  • Hoang, Vuong Quan

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.

Suggested Citation

  • Hữu, Nguyễn Văn & Hoang, Vuong Quan, 2007. "On the Martingale Representation Theorem and on Approximate Hedging a Contingent Claim in the Minimum Deviation Square Criterion," OSF Preprints 96rst, Center for Open Science.
    • Handle: RePEc:osf:osfxxx:96rst
    DOI: 10.31219/osf.io/96rst
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    References listed on IDEAS

    as
    1. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    2. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
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    Cited by:

    1. Nguyen, Minh-Hoang & La, Viet-Phuong & Ho, Manh-Toan & Huyen, Nguyen Thanh Thanh & Le, Tam-Tri, 2021. "Vuong Quan Hoang," OSF Preprints u7jms, Center for Open Science.
    2. Vuong, Quan-Hoang & Nguyen, Minh-Hoang & Jin, Ruining & Le, Tam-Tri, 2022. "Cultural Additivity Theory," OSF Preprints xuv3s, Center for Open Science.

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