Asymptotics for discrete time hedging errors under fractional Black–Scholes models

Wensheng Wang

Statistics & Probability Letters, 2019, vol. 149, issue C, 160-170

Abstract: In this paper, we analyze the hedging errors due to discrete time trading, the exact growth rates of discrete time hedging errors under fractional Black–Scholes (BS) models with the fractional pathwise integral and the fractional Wick–Itô–Skorohod integral are investigated respectively.

Keywords: Discrete time hedging error; Fractional Black–Scholes model; Fractional pathwise integral; Fractional WIS integral; Risk (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2019.02.007

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