On pricing and hedging in financial markets with long-range dependence
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Publication:1938961
DOI10.1007/s11579-011-0048-zzbMath1273.91443MaRDI QIDQ1938961
Yuliya S. Mishura, Alexander V. Melnikov
Publication date: 26 February 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-011-0048-z
fractional Brownian motion; Brownian motion; efficient hedging; financial market; minimal martingale measure
60G22: Fractional processes, including fractional Brownian motion
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J65: Brownian motion
91G20: Derivative securities (option pricing, hedging, etc.)
91G10: Portfolio theory
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Cites Work
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