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Shadow Price Approximation for the Fractional Black Scholes Model

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  • Dolemweogo Sibiri Narcisse
  • Béré Frédéric
  • Nitiéma Pierre Clovis
  • Jewgeni Dshalalow

Abstract

In this work, we used Tran Hung Thao’s approximation of fractional Brownian motion to approximate the shadow price of the fractional Black Scholes model. In the case to maximize expectation of the utility function in a portfolio optimization problem under transaction cost, the shadow price is approximated by a Markovian process and semimartingale.

Suggested Citation

  • Dolemweogo Sibiri Narcisse & Béré Frédéric & Nitiéma Pierre Clovis & Jewgeni Dshalalow, 2022. "Shadow Price Approximation for the Fractional Black Scholes Model," International Journal of Mathematics and Mathematical Sciences, Hindawi, vol. 2022, pages 1-10, August.
    • Handle: RePEc:hin:jijmms:4719482
    DOI: 10.1155/2022/4719482
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