{"id":"W2085418291","doi":"10.1080/07362990701420092","title":"Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging","year":2007,"lang":"en","type":"article","venue":"Stochastic Analysis and Applications","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":16,"is_retracted":false,"has_abstract":true,"ca_institutions":"HEC Montréal; Université de Montréal","funders":"Natural Sciences and Engineering Research Council of Canada; Fonds Québécois de la Recherche sur la Nature et les Technologies","keywords":"Mathematics; Martingale (probability theory); Mathematical finance; Mathematical economics; Brownian motion; Geometric Brownian motion; Martingale pricing; Calculus (dental); Local martingale; Applied mathematics; Pure mathematics; Econometrics; Economics; Finance; Diffusion process; Statistics","routes":{"ca_aff":true,"ca_fund":true,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.001600501,0.00105869,0.0008185312,0.001984904,0.000566425,0.002361244,0.0008396368,0.001244629,0.005683602],"category_scores_gemma":[0.0061732,0.0003859751,0.001110002,0.001699438,0.001446316,0.00284621,0.001628486,0.002538118,0.0006239809],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0009706046,"about_ca_system_score_gemma":0.0006944239,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0009977971,"about_ca_topic_score_gemma":0.001210033,"domain_scores_codex":[0.9996058,0.00014859,0.00002301306,0.00004274019,0.0001226044,0.00005720938],"domain_scores_gemma":[0.9989746,0.0005684514,0.0001148079,0.00009296301,0.0001507298,0.00009851238],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.000006476616,0.00001782823,0.0001644317,0.00003118394,0.000008597422,0.0000732953,0.00007759605,0.00828786,0.000694113,0.9821981,0.0005200102,0.007920646],"study_design_scores_gemma":[0.000009742623,0.00001351524,0.0001842498,0.00002920649,0.000007393124,0.0001005714,0.00004309619,0.110429,0.0003865261,0.8871366,0.001643605,0.00001644211],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.0685354,0.002835906,0.906376,0.0009786749,0.0002649075,0.00004250692,0.0001334948,0.0001451363,0.02068793],"genre_scores_gemma":[0.7957895,0.004605158,0.1748066,0.000346813,0.0004869351,0.000155885,0.0003243065,0.0001883214,0.0232964],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.005683602,"threshold_uncertainty_score":0.01901352,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02815270186357881,"score_gpt":0.278540743545554,"score_spread":0.2503880416819752,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}