On discrete time hedging errors in a fractional Black-Scholes model (Q681037)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On discrete time hedging errors in a fractional Black-Scholes model |
scientific article |
Statements
On discrete time hedging errors in a fractional Black-Scholes model (English)
0 references
29 January 2018
0 references
discrete time hedging
0 references
Wick-Itô-Skorohod integral
0 references
rate of convergence
0 references
incomplete market
0 references
fractional Brownian motion
0 references
Black-Scholes model
0 references
