Hedging in fractional Black-Scholes model with transaction costs

Foad Shokrollahi and Tommi Sottinen

Papers from arXiv.org

Abstract: We consider conditional-mean hedging in a fractional Black-Scholes pricing model in the presence of proportional transaction costs. We develop an explicit formula for the conditional-mean hedging portfolio in terms of the recently discovered explicit conditional law of the fractional Brownian motion.

Date: 2017-05, Revised 2017-07
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Citations: View citations in EconPapers (6)

Published in Statistics & Probability Letters, Volume 130, November 2017

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1706.01534

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