Hedging in fractional Black-Scholes model with transaction costs
classification
💱 q-fin.PR
math.STstat.TH
keywords
fractionalhedgingblack-scholesconditional-meancostsexplicitmodeltransaction
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We consider conditional-mean hedging in a fractional Black-Scholes pricing model in the presence of proportional transaction costs. We develop an explicit formula for the conditional-mean hedging portfolio in terms of the recently discovered explicit conditional law of the fractional Brownian motion.
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