Minimal variance hedging for fractional Brownian motion

DOI10.4310/MAA.2003.V10.N3.A2zbMATH Open1056.60033MaRDI QIDQ1884152FDOQ1884152

Authors: Francesca Biagini, B. Øksendal 

Publication date: 25 October 2004

Published in: Methods and Applications of Analysis (Search for Journal in Brave)

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zbMATH Keywords

integration by parts formulaisometry propertymulti-dimensional Itô formula

Mathematics Subject Classification ID

Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Cited In (8)

• Asymptotic analysis for hedging errors in models with respect to geometric fractional Brownian motion
• On hedging European options in geometric fractional Brownian motion market model
• Explicit formulas for the minimal variance hedging strategy in a martingale case
• On the fractional stochastic integration for random non-smooth integrands
• On stochastic calculus related to financial assets without semimartingales
• Solutions to BSDEs driven by both standard and fractional Brownian motions
• A stochastic maximum principle for processes driven by fractional Brownian motion.
• Nonexplosion Criteria for Solutions of SDE with Fractional Brownian Motion

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