Optimal replication of random claims by ordinary integrals with applications in finance
By the classical Martingale Representation Theorem, replication of random vectors can be achieved via stochastic integrals or solutions of stochastic differential equations. We introduce a new approach to replication of random vectors via adapted differentiable processes generated by a controlled or...
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| Format: | Conference Paper |
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Society for Industrial and Applied Mathematics
2013
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| Online Access: | http://hdl.handle.net/20.500.11937/32673 |