On discrete time hedging errors in a fractional Black-Scholes model
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Publication:681037
DOI10.1007/s11766-017-3160-xzbMath1389.91115OpenAlexW2620763000MaRDI QIDQ681037
Publication date: 29 January 2018
Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11766-017-3160-x
rate of convergencefractional Brownian motionincomplete marketBlack-Scholes modeldiscrete time hedgingWick-Itô-Skorohod integral
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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