Convergence of the maximum probability of success in the problem of quantile hedging for a model of an asset price process with long-range dependence (Q2849241)
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scientific article; zbMATH DE number 6208758
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence of the maximum probability of success in the problem of quantile hedging for a model of an asset price process with long-range dependence |
scientific article; zbMATH DE number 6208758 |
Statements
Convergence of the maximum probability of success in the problem of quantile hedging for a model of an asset price process with long-range dependence (English)
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17 September 2013
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quantile hedging
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fractional Brownian motion
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mixed model
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limit theorems
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probability of success
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