Article (Scientific journals)
On the fractional Black-Scholes market with transaction costs
Azmoodeh, Ehsan
2013In Communications in Mathematical Finance, 2 (3), p. 21-40
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Keywords :
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 $\frac{1}{2}$.
Disciplines :
Mathematics
Author, co-author :
Azmoodeh, Ehsan ;  University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit
Language :
English
Title :
On the fractional Black-Scholes market with transaction costs
Publication date :
2013
Journal title :
Communications in Mathematical Finance
ISSN :
2241-1968
Publisher :
Scienpress Ltd
Volume :
2
Issue :
3
Pages :
21-40
Peer reviewed :
Peer Reviewed verified by ORBi
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since 18 December 2013

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