Conditional-mean hedging under transaction costs in Gaussian models

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dc.contributor.authorSottinen, Tommi
dc.contributor.authorViitasaari, Lauri
dc.contributor.departmentfi=Ei tutkimusalustaa|en=No platform|-
dc.contributor.facultyfi=Tekniikan ja innovaatiojohtamisen yksikkö|en=School of Technology and Innovations|-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2020-01-09T07:20:16Z
dc.date.accessioned2025-06-25T12:30:51Z
dc.date.available2020-01-09T07:20:16Z
dc.date.issued2018-04-02
dc.description.abstractWe 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 motions. As an application, we consider conditional-mean hedging under transaction costs in Black–Scholes type pricing models where the Brownian motion is replaced with a more general regular invertible Gaussian Volterra process.-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent15-
dc.format.pagerange1-15-
dc.identifier.olddbid11079
dc.identifier.oldhandle10024/10179
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/364
dc.identifier.urnURN:NBN:fi-fe202001091612-
dc.language.isoeng-
dc.publisherWorld Scientific Publishing Company-
dc.relation.doi10.1142/S0219024918500152-
dc.relation.ispartofjournalInternational journal of theoretical and applied finance-
dc.relation.issn1793-6322-
dc.relation.issn0219-0249-
dc.relation.issue2-
dc.relation.urlhttps://doi.org/10.1142/S0219024918500152-
dc.relation.volume21-
dc.source.identifierWOS: 000432901000006-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/10179
dc.subjectdelta-hedging-
dc.subjectoption pricing-
dc.subjectprediction-
dc.subjecttransaction costs-
dc.subject.olddisciplineMatematiikka-
dc.titleConditional-mean hedging under transaction costs in Gaussian models-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
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