Groupe d’études et de recherche en analyse des décisions


Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging


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.

, 24 pages