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Publication:3607771
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zbMATH Open1164.62409MaRDI QIDQ3607771

M. V. Bratik, Yuliya S. Mishura

Publication date: 28 February 2009



Title of this publication is not available (Why is that?)


zbMATH Keywords

contingent claimsBrownian-fractional-Brownian motion model


Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65)



Related Items (3)

Buyer's quantile hedge portfolios in discrete-time trading ⋮ Quantile hedging in the complete financial market under the mixed fractional Brownian motion model and the liquidity constraint ⋮ 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






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