Hedging in fractional Black-Scholes model with transaction costs
Pricing of Securities
2017-09-20 v2 Statistics Theory
Statistics Theory
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.
Keywords
Cite
@article{arxiv.1706.01534,
title = {Hedging in fractional Black-Scholes model with transaction costs},
author = {Foad Shokrollahi and Tommi Sottinen},
journal= {arXiv preprint arXiv:1706.01534},
year = {2017}
}