Dynamic hedging based on fractional order stochastic model with memory effect

DOI10.1155/2016/6817483zbMath1400.91600OpenAlexW2509839922WikidataQ59141104 ScholiaQ59141104MaRDI QIDQ1793474

Qing Li, Xinquan Zhao, Yan-Li Zhou, Xiang-Yu Ge

Publication date: 12 October 2018

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2016/6817483

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Dynamic currency futures and options hedging model

Cites Work

• Impact of correlated noises on additive dynamical systems
• Hedging long-term exposures of a well-diversified portfolio with short-term stock index futures contracts
• Ranking efficiency for emerging markets
• Fractional order stochastic differential equation with application in European option pricing
• Arbitrage with Fractional Brownian Motion

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