Asymptotic analysis for hedging errors in models with respect to geometric fractional Brownian motion

作者：Wang, Wensheng^*

来源：Stochastics: An International Journal of Probability and Stochastic Processes , 2019, 91(3): 407-432.

DOI：10.1080/17442508.2018.1540626

• Discrete time hedging error
• risk
• fractional stochastic integral model
• convergence
• geometric fractional Brownian motion

In this paper, we investigate asymptotic behaviour for rates of discrete time hedging errors in models with respect to geometric fractional Brownian motion with Hurst parameter . We analyse the rates of hedging errors due to discrete time trading when the true strategy is known, and the exact rates of convergence and limit distributions of hedging errors for models with respect to the fractional pathwise integral and the fractional Wick-Ito-Skorohod integral are investigated.

• 出版日期2019-4-3
• 单位杭州电子科技大学