Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5129650 | Statistics & Probability Letters | 2017 | 7 Pages |
Abstract
We consider conditional-mean hedging in a fractional Black-Scholes pricing model in the presence of proportional transaction costs. We develop an explicit formula for the conditional-mean hedging portfolio in terms of the recently discovered explicit conditional law of the fractional Brownian motion.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Foad Shokrollahi, Tommi Sottinen,