G-2006-43
Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging
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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.
Published July 2006 , 24 pages
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