Hae
Aineistot 1-2 / 2
Conditional-mean hedging under transaction costs in Gaussian models
(World Scientific Publishing Company, 2018-04-02)
- article
We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed fractional Brownian ...
Hedging in fractional Black-Scholes model with transaction costs
(Elsevier, 2017-11-01)
- article
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 ...