Quantile hedging in the complete financial market under the mixed fractional Brownian motion model and the liquidity constraint

DOI10.1016/j.cam.2024.115837zbMath1544.91317MaRDI QIDQ6556762

Bing Cui, Alireza Najafi

Publication date: 17 June 2024

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

risk neutral measuremixed fractional Brownian motionlong memory propertygeneralized mixed fractional Girsanov theoremquantile hedging strategy

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

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