Dynamic below-target semi-variance risk measure in a fractional Black-Scholes market (Q2916596)
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scientific article; zbMATH DE number 6091101
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| English | Dynamic below-target semi-variance risk measure in a fractional Black-Scholes market |
scientific article; zbMATH DE number 6091101 |
Statements
5 October 2012
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downside risk
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fractional Brownian motion
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Clark-Ocone theorem
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Dynamic below-target semi-variance risk measure in a fractional Black-Scholes market (English)
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0.8375967741012573
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0.8072600364685059
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0.791289210319519
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0.7871001958847046
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