Hedging in fractional Black–Scholes model with transaction costs
Foad Shokrollahi and
Statistics & Probability Letters, 2017, vol. 130, issue C, 85-91
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.
Keywords: Delta-hedging; Fractional Black–Scholes model; Transaction costs; Option pricing (search for similar items in EconPapers)
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