scientific article; zbMATH DE number 5592540

zbMATH Open1195.91164MaRDI QIDQ5325329FDOQ5325329

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

Title of this publication is not available (Why is that?)

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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)

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
• Investigation of a \((B, S)\) market of security with stochastic volatility driven by fractional Brownian motion
• The generalization of the quantile hedging problem for a price process model involving a finite number of Brownian and fractional Brownian motions

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