Shadow Price Approximation for the Fractional Black Scholes Model

Dolemweogo Sibiri Narcisse, Béré Frédéric, Nitiéma Pierre Clovis and Jewgeni Dshalalow

International Journal of Mathematics and Mathematical Sciences, 2022, vol. 2022, 1-10

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.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jijmms:4719482

DOI: 10.1155/2022/4719482

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