Shadow Price Approximation for the Fractional Black Scholes Model-Reference-Cited by-同舟云学术

Shadow Price Approximation for the Fractional Black Scholes Model

Published:2022-08-29 Issue: Volume:2022 Page:1-10
ISSN:1687-0425
Container-title:International Journal of Mathematics and Mathematical Sciences
language:en
Short-container-title:International Journal of Mathematics and Mathematical Sciences

Author:

Narcisse Dolemweogo Sibiri¹,Frédéric Béré²^ORCID,Clovis Nitiéma Pierre³

Affiliation:

1. Département de Mathématiques, Université Joseph KI-ZERBO, 03 BP 7021, Ouagadougou, Burkina Faso

2. Département de Mathématiques, Ecole Normale Supérieure, 12 BP 417 Ouagadougou, Burkina Faso

3. Département de Mathématiques, Université Thomas SANKARA, 04 BP 8938, Ouagadougou 01, Burkina Faso

Abstract

In this work, we used Tran Hung Thao’s approximation of fractional Brownian motion to approximate the shadow price of the fractional Black Scholes model. In the case to maximize expectation of the utility function in a portfolio optimization problem under transaction cost, the shadow price is approximated by a Markovian process and semimartingale.

Publisher

Hindawi Limited

Subject

Mathematics (miscellaneous)

Link

http://downloads.hindawi.com/journals/ijmms/2022/4719482.pdf

Reference15 articles.

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