Hedging in fractional Black-Scholes model with transaction costs

Tietueen suppeat tiedot
dc.contributor.authorShokrollahi, Foad
dc.contributor.authorSottinen, Tommi
dc.contributor.facultyfi=Tekniikan ja innovaatiojohtamisen yksikkö|en=School of Technology and Innovations|-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2020-01-09T06:49:14Z
dc.date.accessioned2025-06-25T12:25:59Z
dc.date.available2020-01-09T06:49:14Z
dc.date.issued2017-11-01
dc.description.abstractWe 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.-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent8-
dc.format.pagerange85-91-
dc.identifier.olddbid11076
dc.identifier.oldhandle10024/10177
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/222
dc.identifier.urnURN:NBN:fi-fe202001091600-
dc.language.isoeng-
dc.publisherElsevier-
dc.relation.doi10.1016/j.spl.2017.07.014-
dc.relation.ispartofjournalStatistics and probability letters-
dc.relation.issn0167-7152-
dc.relation.urlhttps://doi.org/10.1016/j.spl.2017.07.014-
dc.relation.volume130-
dc.rightsCC BY-NC-ND 4.0-
dc.source.identifierWOS: 000411301000015-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/10177
dc.subjectdelta-hedging-
dc.subjectfractional Black–Scholes model-
dc.subjecttransaction costs-
dc.subjectoption pricing-
dc.subject.olddisciplineMatematiikka-
dc.titleHedging in fractional Black-Scholes model with transaction costs-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
dc.type.versionacceptedVersion-

Tiedostot

Näytetään 1 - 1 / 1
Name:
Osuva_Shokrollahi_Sottinen_2017.pdf
Size:
432.77 KB
Format:
Adobe Portable Document Format
Description:
artikkeli
Lataa

Kokoelmat

Artikkelit