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19 juin 2007
- handle: 10670/1.n5kr2n
- Renaud, Jean-François et Rémillard, Bruno (2007). « Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging ». Stochastic Analysis and Applications, 25(4), pp. 801-820.
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http://archipel.uqam.ca/8261/
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http://dx.doi.org/10.1080/07362990701420092
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doi:10.1080/07362990701420092
Mots-clés
Black-Scholes model Brownian functionals Clark-Ocone formula Hedging Martingale representation Path-dependent options Stochastic integral representationCiter ce document
Jean-François Renaud et al., « Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging », UQAM Archipel : articles scientifiques, ID : 10670/1.n5kr2n
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Résumé
Using Clark-Ocone formula, explicit martingale representations for path-dependent Brownian functionals are computed. As direct consequences, explicit martingale representations of the extrema of geometric Brownian motion and explicit hedging portfolios of path-dependent options are obtained.