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The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions
Репозиторій DSpace/Manakin
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The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions
Посилання:
The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions / M. Bratyk, Y. Mishura // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 3-4. — С. 27-38. — Бібліогр.: 6 назв.— англ.
Дата:
2008
Переглядів:
1283
Завантажень:
679
Анотація:
The paper is devoted to the problem of quantile hedging of contingent claims in the framework of a model defined by the finite number of independent Brownian and fractional Brownian motions. The maximal success probability depending on initial capital is estimated.
