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math.PR2026
Scaling Limits for the Discretization of the Martingale Representation Theorem
Yan Dolinsky
In this note, we derive a large-deviation-type scaling limit for a discretization of the Martingale Representation Theorem. Somewhat surprisingly, and to the best of our knowledge,…
math.PR2025
Scaling Limits for Exponential Hedging in the Brownian Framework
Yan Dolinksy, Xin Zhang
In this paper, we consider scaling limits of exponential utility indifference prices for European contingent claims in the Bachelier model. We show that the scaling limit can be re…