Shadow price approximation for the fractional Black Scholes model

DOI10.1155/2022/4719482OpenAlexW4293730533WikidataQ114069187 ScholiaQ114069187MaRDI QIDQ2693249

Béré Frédéric, Nitiéma Pierre Clovis, Dolemweogo Sibiri Narcisse

Publication date: 20 March 2023

Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2022/4719482

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Actuarial science and mathematical finance (91Gxx) Stochastic processes (60Gxx)

Related Items (1)

STOCHASTIC HAMILTON-JACOBI-BELLMAN EQUATION AND VISCOSITY SOLUTIONS IN THE CASE OF MAXIMIZING THE EXPECTATION OF THE UTILITY FUNCTION

Cites Work

• Duality theory for portfolio optimisation under transaction costs
• An approximate approach to fractional stochastic integration and its applications
• Portfolio selection with transactions costs
• Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
• Stochastic optimisation and control applied to finance
• Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion
• Stochastic calculus for fractional Brownian motion and related processes.
• SHADOW PRICES FOR CONTINUOUS PROCESSES
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• Fractional Brownian Motions, Fractional Noises and Applications

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