On discrete time hedging errors in a fractional Black-Scholes model (Q681037)
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scientific article; zbMATH DE number 6830716
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On discrete time hedging errors in a fractional Black-Scholes model |
scientific article; zbMATH DE number 6830716 |
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On discrete time hedging errors in a fractional Black-Scholes model (English)
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29 January 2018
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discrete time hedging
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Wick-Itô-Skorohod integral
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rate of convergence
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incomplete market
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fractional Brownian motion
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Black-Scholes model
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