Robust replication in H-self-similar Gaussian market models under uncertainty

DOI10.1524/stnd.2011.1074zbMath1208.91171MaRDI QIDQ3086113

Esko Valkeila, Tommi Sottinen, Pavel V. Gapeev

Publication date: 29 March 2011

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.2011.1074

zbMATH Keywords

fractional Brownian motion; model uncertainty; arbitrage; robust replication

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G80: Financial applications of other theories

60G18: Self-similar stochastic processes