On hedging European options in geometric fractional Brownian motion market model (Q3576391)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | On hedging European options in geometric fractional Brownian motion market model |
scientific article |
Statements
On hedging European options in geometric fractional Brownian motion market model (English)
0 references
30 July 2010
0 references
fractional Brownian motion
0 references
stochastic integral
0 references
Lebesgue-Stieltjes integral
0 references
Itô formula
0 references
hedging European options
0 references
stop-loss start-gain strategy
0 references