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

Nguyen Van Huu · Quan‐Hoang Vuong

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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.

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1979Martingales and arbitrage in multiperiod securities markets 1981Martingales and stochastic integrals in the theory of continuous trading 2002Stochastic Finance: An Introduction in Discrete Time 1995Variance-Optimal Hedging in Discrete Time 1996Approximation pricing and the variance-optimal martingale measure 1994On Quadratic Cost Criteria for Option Hedging

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