Shadow price approximation for the fractional Black Scholes model (Q2693249)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Shadow price approximation for the fractional Black Scholes model |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Shadow price approximation for the fractional Black Scholes model |
scientific article |
Statements
Shadow price approximation for the fractional Black Scholes model (English)
0 references
20 March 2023
0 references
Summary: In this work, we used Tran Hung Thao's approximation of fractional Brownian motion to approximate the shadow price of the fractional Black Scholes model. In the case to maximize expectation of the utility function in a portfolio optimization problem under transaction cost, the shadow price is approximated by a Markovian process and semimartingale.
0 references
0 references
0 references
