scientific article; zbMATH DE number 5520305

MaRDI QIDQ3607771zbMATH OpenFDO

Authors M. V. Bratik, Yuliya S. Mishura

Publication date 28 February 2009

zbMATH Keywords

contingent claimsBrownian-fractional-Brownian motion model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65)

Cited in

(3)

• Quantile hedging in the complete financial market under the mixed fractional Brownian motion model and the liquidity constraint
• Buyer's quantile hedge portfolios in discrete-time trading
• 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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