scientific article; zbMATH DE number 5592540

MaRDI QIDQ5325329zbMATH OpenFDO

Authors S. V. Posashkov

Publication date 8 August 2009

Full work available at URL http://www.ams.org/tpms/2008-77-00/S0094-9000-09-00753-4/home.html

zbMATH Keywords

fractional Brownian motionpartial differential equationfinancial marketfair hedging price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Transition functions, generators and resolvents (60J35)

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Cited in

(4)

• The writing price of a European contingent claim under proportional transaction costs
• On pricing and hedging in financial markets with long-range dependence
• The generalization of the quantile hedging problem for a price process model involving a finite number of Brownian and fractional Brownian motions
• Investigation of a \((B, S)\) market of security with stochastic volatility driven by fractional Brownian motion

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