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-ItS-Skorohod integration. The rate of convergence of the hedging e...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-ItS-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.展开更多
This paper studies the insurer’s solvency ratio model in a class of mixed fractional Brownian motion(MFBM) market, where the prices of assets follow a Wick-It? stochastic differential equation driven by the MFBM, by ...This paper studies the insurer’s solvency ratio model in a class of mixed fractional Brownian motion(MFBM) market, where the prices of assets follow a Wick-It? stochastic differential equation driven by the MFBM, by the method of the stochastic calculus of the MFBM and the pricing formula of European call option for the MFBM, the explicit formula for the expected present value of shareholders’ terminal payoff is given. The model extends the existing results.展开更多
基金Supported by the National Natural Science Foundation of China(11671115)the Natural Science Foundation of Zhejiang Province(LY14A010025)
文摘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-ItS-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.
基金Supported by National Natural Science Foundation of China(71171003,71271003,and 11326121)Natural Science Foundation of Anhui Province(1508085MA02)+1 种基金Teaching Research Project of Anhui Province(2013jyxm111)Opening Project of Financial Engineering Research and Development Center of Anhui Polytechnic University(JRGCKF201502)
文摘This paper studies the insurer’s solvency ratio model in a class of mixed fractional Brownian motion(MFBM) market, where the prices of assets follow a Wick-It? stochastic differential equation driven by the MFBM, by the method of the stochastic calculus of the MFBM and the pricing formula of European call option for the MFBM, the explicit formula for the expected present value of shareholders’ terminal payoff is given. The model extends the existing results.
