On hedging European options in geometric fractional Brownian motion market model
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DOI: 10.1524/stnd.2009.1021
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Cited by:
- Mishura, Yuliya & Shevchenko, Georgiy & Valkeila, Esko, 2013. "Random variables as pathwise integrals with respect to fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2353-2369.
- Azmoodeh, Ehsan & Tikanmäki, Heikki & Valkeila, Esko, 2010. "When does fractional Brownian motion not behave as a continuous function with bounded variation?," Statistics & Probability Letters, Elsevier, vol. 80(19-20), pages 1543-1550, October.
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Keywords
arbitrage; pricing by hedging; geometric fractional Brownian motion; stochastic integrals;All these keywords.
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