The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions
Vernadsky National Library of Ukraine
Переглянути архів Інформація| Поле | Співвідношення | |
| Title |
The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions
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| Creator |
Bratyk, M.
Mishura, Y. |
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| Description |
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.
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| Date |
2009-12-07T15:32:56Z
2009-12-07T15:32:56Z 2008 |
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| Type |
Article
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| Identifier |
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.
0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4566 |
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| Language |
en
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| Publisher |
Інститут математики НАН України
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