Hedging in fractional Black-Scholes model with transaction costs
Pysyvä osoite
Kuvaus
We consider conditional-mean hedging in a fractional Black–Scholes pricing model in the presence of proportional transaction costs. We develop an explicit formula for the conditional-mean hedging portfolio in terms of the recently discovered explicit conditional law of the fractional Brownian motion.
Emojulkaisu
ISBN
ISSN
0167-7152
Aihealue
Kausijulkaisu
Statistics and probability letters|130
OKM-julkaisutyyppi
A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä