A new proposition on the martingale representation theorem and on the approximate hedging of contingent claim in mean-variance criterion
In this work we revisit the problem of the hedging of contingent claim using mean-square criterion. We prove that in incomplete market, some probability measure can be identified so that becomes -martingale under .This is in fact a new proposition on the martingale representation theorem. The new results also identify a weight function that serves to be an approximation to the Radon-Nikodým derivative of the unique neutral martingale measure.
|Date of creation:||Apr 2006|
|Date of revision:|
|Publication status:||Published by: Université Libre de Bruxelles, Solvay Business School, Centre Emile Bernheim (CEB)|
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