Delta-hedging in fractional volatility models

DOI10.1007/s10436-022-00415-wOpenAlexW4308562726MaRDI QIDQ2694770

Qi Zhao, Alexandra Chronopoulou

Publication date: 4 April 2023

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-022-00415-w

zbMATH Keywords

hedgingstochastic volatilitylong-memoryhedging bias

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• longmemo

Cites Work

• Unnamed Item
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