Quantile hedging in the complete financial market under the mixed fractional Brownian motion model and the liquidity constraint (Q6556762)
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scientific article; zbMATH DE number 7866539
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Quantile hedging in the complete financial market under the mixed fractional Brownian motion model and the liquidity constraint |
scientific article; zbMATH DE number 7866539 |
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Quantile hedging in the complete financial market under the mixed fractional Brownian motion model and the liquidity constraint (English)
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17 June 2024
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mixed fractional Brownian motion
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quantile hedging strategy
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risk neutral measure
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long memory property
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generalized mixed fractional Girsanov theorem
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