Hedging in fractional Black-Scholes model with transaction costs
Shokrollahi, Foad; Sottinen, Tommi (2017-11-01)
Shokrollahi, Foad
Sottinen, Tommi
Elsevier
01.11.2017
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe202001091600
https://urn.fi/URN:NBN:fi-fe202001091600
Kuvaus
vertaisarvioitu
Tiivistelmä
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.
Kokoelmat
- Artikkelit [2089]