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The optimal hedging price of a European type contingent claim
Author(s):
S.
V.
Posashkov
Translated by:
N. Semenov
Original publication:
Teoriya Imovirnostei ta Matematichna Statistika,
vipusk 77
(2007).
Journal:
Theor. Probability and Math. Statist.
No. 77
(2008),
147-154.
MSC (2000):
Primary 60H30;
Secondary 60J35, 60J65
Posted:
January 21, 2009
MathSciNet review:
2432778
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References |
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Additional information
Abstract:
A  financial market is considered in the paper for the case where the volatility is governed by fractional Brownian motion. We prove that the market is incomplete and find the optimal hedging price of a contingent claim that locally minimizes the risk. Under certain assumptions on the price function, we obtain a partial differential equation for the fair hedging price of a contingent claim.
References:
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- 2.
- G. Kallianpur and R. L. Karandinkar, Introduction to Option Pricing Theory, Birkhäuser, Boston, 2000. MR 1718056 (2000k:91054)
- 3.
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- 7.
- H. Föllmer and M. Schweizer, Hedging of contingent claim under incomplete information, Applied Stochastic Analysis (M. H. A. Davis and R. J. Elliot, eds.), Gordon and Breach, London-New York, 1991, pp. 389-414. MR 1108430 (92g:90029)
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60H30,
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Additional Information:
S.
V.
Posashkov
Affiliation:
Department of Probability Theory and Mathematical Statistics, Faculty for Mechanics and Mathematics, National Taras Shevchenko University, Academician Glushkov Avenue 6, Kyiv 03127, Ukraine
Email:
corlagon@univ.kiev.ua
DOI:
10.1090/S0094-9000-09-00753-4
PII:
S 0094-9000(09)00753-4
Keywords:
Optimal hedging price,
fractional Brownian motion,
European type contingent claim
Received by editor(s):
31/AUG/2006
Posted:
January 21, 2009
Copyright of article:
Copyright
2009,
American Mathematical Society
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