On hedging European options in geometric fractional Brownian motion market model (Q3576391)
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scientific article; zbMATH DE number 5762964
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| English | On hedging European options in geometric fractional Brownian motion market model |
scientific article; zbMATH DE number 5762964 |
Statements
On hedging European options in geometric fractional Brownian motion market model (English)
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30 July 2010
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fractional Brownian motion
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stochastic integral
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Lebesgue-Stieltjes integral
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Itô formula
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hedging European options
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stop-loss start-gain strategy
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0.8366631269454956
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0.8163772821426392
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0.7990273237228394
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0.7960954904556274
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