Minimal variance hedging for fractional Brownian motion

Biagini, Francesca und Øksendal, Bernt (2003): Minimal variance hedging for fractional Brownian motion. In: Methods and Applications of Analysis, Bd. 10, Nr. 3: 347 - 362

Abstract

We discuss the extension to the multi-dimensional case of the Wick-Itô integral with respect to fractional Brownian motion, introduced by [6] in the 1-dimensional case. We prove a multidimensional Itô type isometry for such integrals, which is used in the proof of the multi-dimensional Itô formula. The results are applied to study the problem of minimal variance hedging in a market driven by fractional Brownian motions.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• Sprache: Englisch