G-2006-43
Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging
Jean-François Renaud et Bruno Rémillard
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.
Paru en juillet 2006 , 24 pages