Convergence of the maximum probability of success in the problem of quantile hedging for a model of an asset price process with long-range dependence
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Publication:2849241
DOI10.1090/S0094-9000-2012-00861-2zbMath1274.91373MaRDI QIDQ2849241
Mykhajlo V. Bratyk, Yuliya S. Mishura, Yuriy Vasil'ovich Kozachenko
Publication date: 17 September 2013
Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1090/s0094-9000-2012-00861-2
Cites Work
- Mixed fractional Brownian motion
- On pricing and hedging in financial markets with long-range dependence
- Quantile hedging
- Representation of Gaussian processes equivalent to Wiener process
- Functional limit theorems for stochastic integrals with applications to risk processes and to self-financing strategies in a multidimensional market. I
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