|
|||||
|
|
On discrete time hedging errors in a fractional Black-Scholes model |
|
| Authors: | Wen-sheng Wang |
| Institution: | College of Economics,Hangzhou Dianzi University,Hangzhou 310018,China;College of Science,Hangzhou Normal University,Hangzhou 310036,China |
| Abstract: | In this paper we investigate asymptotic behavior of error of a discrete time hedging strategy in a fractional Black-Scholes model in the sense of Wick-Ito-Skorohod integration.The rate of convergence of the hedging error due to discrete-time trading when the true strategy is known for the trader,is investigated.The result provides new statistical tools to study and detect the effect of the long-memory and the Hurst parameter for the error of discrete time hedging. |
| Keywords: | discrete time hedging Wick-It(o)-Skorohod integral rate of convergence weak convergence incomplete market fractional Brownian motion replicate Black-Scholes model |
| 本文献已被 万方数据 SpringerLink 等数据库收录！ | |