Reference : On the fractional Black-Scholes market with transaction costs
 Document type : Scientific journals : Article Discipline(s) : Physical, chemical, mathematical & earth Sciences : Mathematics To cite this reference: http://hdl.handle.net/10993/13349
 Title : On the fractional Black-Scholes market with transaction costs Language : English Author, co-author : Azmoodeh, Ehsan [University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit >] Publication date : 2013 Journal title : Communications in Mathematical Finance Publisher : Scienpress Ltd Volume : 2 Issue/season : 3 Pages : 21-40 Peer reviewed : Yes (verified by ORBilu) ISSN : 2241-1968 Keywords : [en] fractional Brownian motion ; fractional Black-Scholes market ; transaction costs Abstract : [en] We consider fractional Black-Scholes market with proportional transaction costs. When transaction costs are present, one trades periodically i.e. we have the discrete trading with equidistance $n^{-1}$ between trading times. We derive a non trivial hedging error for a class of European options with convex payoff in the case when the transaction costs coefficients decrease as $n^{-(1-H)}$. We study the expected hedging error and asymptotic behavior of the hedge as Hurst parameter $H$ approaches $\frac{1}{2}$. Permalink : http://hdl.handle.net/10993/13349 Mentions required by the publisher for OA : http://www.scienpress.com/Upload/CMF/Vol%202_3_2.pdf

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