The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions

dc.contributor.author	Bratyk, M.
dc.contributor.author	Mishura, Y.
dc.date.accessioned	2009-12-07T15:32:56Z
dc.date.available	2009-12-07T15:32:56Z
dc.date.issued	2008
dc.identifier.citation	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.	en_US
dc.identifier.issn	0321-3900
dc.identifier.uri	http://dspace.nbuv.gov.ua/handle/123456789/4566
dc.description.abstract	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.	en_US
dc.language.iso	en	en_US
dc.publisher	Інститут математики НАН України	en_US
dc.title	The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions	en_US
dc.type	Article	en_US
dc.status	published earlier	en_US