Groupe d’études et de recherche en analyse des décisions

# 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.

, 24 pages