Minimal variance hedging for fractional Brownian motion

DOI10.4310/MAA.2003.V10.N3.A2MaRDI QIDQ1884152zbMATH OpenFDO

Authors Francesca Biagini, B. Øksendal

Publication date 25 October 2004

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

zbMATH Keywords

integration by parts formulaisometry propertymulti-dimensional Itô formula

Mathematics Subject Classification ID

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

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Cited in

(8)

• Nonexplosion Criteria for Solutions of SDE with Fractional Brownian Motion
• 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.

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