On discrete time hedging errors in a fractional Black-Scholes model
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s11766-017-3160-x.pdf
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3. C Bender, P Parczewski. On the connection between discrete and continuous Wick calculus with an application to the fractional Black-Scholes model, In: Stochastic Processes, Finance and Control, World Scientific, 2012, 3–40.
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5. F Biagini, Y Hu, B Øksendal, T Zhang. Stochastic Calculus for Fractional Brownian Motion and Applications, Springer-Verlag, London, 2008.
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1. Asymptotics for discrete time hedging errors under fractional Black–Scholes models;Statistics & Probability Letters;2019-06
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