Convergence of the maximum probability of success in the problem of quantile hedging for a model of an asset price process with long-range dependence

DOI10.1090/S0094-9000-2012-00861-2zbMath1274.91373OpenAlexW2101245792MaRDI QIDQ2849241

Mykhajlo V. Bratyk, Yuliya S. Mishura, Yuriy Vasil'ovich Kozachenko

Publication date: 17 September 2013

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0094-9000-2012-00861-2

zbMATH Keywords

fractional Brownian motionlimit theoremsmixed modelquantile hedgingprobability of success

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Portfolio theory (91G10)

Cites Work

• Mixed fractional Brownian motion
• On pricing and hedging in financial markets with long-range dependence
• Quantile hedging
• Representation of Gaussian processes equivalent to Wiener process
• Functional limit theorems for stochastic integrals with applications to risk processes and to self-financing strategies in a multidimensional market. I
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