CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS-Reference-Cited by-同舟云学术

CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS

Published:2018-03 Issue:02 Volume:21 Page:1850015
ISSN:0219-0249
Container-title:International Journal of Theoretical and Applied Finance
language:en
Short-container-title:Int. J. Theor. Appl. Finan.

Author:

SOTTINEN TOMMI¹^ORCID,VIITASAARI LAURI²

Affiliation:

1. Department of Mathematics and Statistics, University of Vaasa, Vaasa, P. O. Box 700, FIN-65101 Vaasa, Finland

2. Department of Mathematics and System Analysis, Aalto University School of Science, Helsinki, P. O. Box 11100, FIN-00076 Aalto, Finland

Abstract

We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed fractional Brownian motions. As an application, we consider conditional-mean hedging under transaction costs in Black–Scholes type pricing models where the Brownian motion is replaced with a more general regular invertible Gaussian Volterra process.

Publisher

World Scientific Pub Co Pte Lt

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219024918500152

Reference18 articles.

1. Pricing by hedging and no-arbitrage beyond semimartingales

2. Fractional Processes as Models in Stochastic Finance

3. Mixed Gaussian processes: A filtering approach

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