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Martingale representation and hedging policies

Author

Listed:
  • Colwell, David B.
  • Elliott, Robert J.
  • Ekkehard Kopp, P.

Abstract

The integrand, when a martingale under an equivalent measure is represented as a stochastic integral, is determined by elementary methods in the Markov situation. Applications to hedging portfolios in finance are described.

Suggested Citation

  • Colwell, David B. & Elliott, Robert J. & Ekkehard Kopp, P., 1991. "Martingale representation and hedging policies," Stochastic Processes and their Applications, Elsevier, vol. 38(2), pages 335-345, August.
    • Handle: RePEc:eee:spapps:v:38:y:1991:i:2:p:335-345
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    Citations

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    Cited by:

    1. Honda, Toshiki, 2003. "Optimal portfolio choice for unobservable and regime-switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 28(1), pages 45-78, October.
    2. repec:dau:papers:123456789/5374 is not listed on IDEAS
    3. Runhuan Feng, 2016. "Stochastic Integral Representations of the Extrema of Time-homogeneous Diffusion Processes," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 691-715, September.
    4. Tak Kuen Siu & Robert J. Elliott, 2019. "Hedging Options In A Doubly Markov-Modulated Financial Market Via Stochastic Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-41, December.
    5. Elliott, Robert J. & Siu, Tak Kuen & Badescu, Alexandru, 2011. "On pricing and hedging options in regime-switching models with feedback effect," Journal of Economic Dynamics and Control, Elsevier, vol. 35(5), pages 694-713, May.
    6. Maria Elvira Mancino, 2001. "A Taylor Formula To Price And Hedge European Contingent Claims," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(04), pages 603-620.

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