Hedging options in market models modulated by the fractional Brownian motion

DOI10.1081/SAP-120000220zbMath0993.60040OpenAlexW2003596454MaRDI QIDQ2758167

M'hamed Eddahbi, Boualem Djehiche

Publication date: 6 December 2001

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-120000220

zbMATH Keywords

fractional Brownian motionstochastic volatilitystochastic calculus of variation

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18)

Related Items

Statistical aspects of the fractional stochastic calculus, THE FRACTIONAL VOLATILITY MODEL AND ROUGH VOLATILITY, LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING, The 1/\(H\)-variation of the divergence integral with respect to the fractional Brownian motion for \(H>1/2\) and fractional Bessel processes

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