On discrete time hedging errors in a fractional Black-Scholes model

DOI10.1007/s11766-017-3160-xzbMath1389.91115MaRDI QIDQ681037

Juan-Miguel Gracia

Publication date: 29 January 2018

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-017-3160-x

zbMATH Keywords

rate of convergence; fractional Brownian motion; incomplete market; Black-Scholes model; discrete time hedging; Wick-Itô-Skorohod integral

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60G22: Fractional processes, including fractional Brownian motion

91G20: Derivative securities (option pricing, hedging, etc.)