Conditional-Mean Hedging Under Transaction Costs in Gaussian Models
Mathematical Finance
2017-08-11 v1 Probability
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.
Cite
@article{arxiv.1708.03242,
title = {Conditional-Mean Hedging Under Transaction Costs in Gaussian Models},
author = {Tommi Sottinen and Lauri Viitasaari},
journal= {arXiv preprint arXiv:1708.03242},
year = {2017}
}
Comments
arXiv admin note: text overlap with arXiv:1706.01534