Publications Meetings The Profession Membership Programs Math Samplings Policy & Advocacy In the News About the AMS
   
Mobile Device Pairing
Theory of Probability and Mathematical Statistics
Theory of Probability and Mathematical Statistics
ISSN 1547-7363(online) ISSN 0094-9000(print)

 

The optimal hedging price of a European type contingent claim


Author: S. V. Posashkov
Translated by: N. Semenov
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, tom 77 (2007).
Journal: Theor. Probability and Math. Statist. 77 (2008), 147-154
MSC (2000): Primary 60H30; Secondary 60J35, 60J65
Published electronically: January 21, 2009
MathSciNet review: 2432778
Full-text PDF Free Access

Abstract | References | Similar Articles | Additional Information

Abstract: A $ (B,S)$ 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 [Enhancements On Off] (What's this?)


Similar Articles

Retrieve articles in Theory of Probability and Mathematical Statistics with MSC (2000): 60H30, 60J35, 60J65

Retrieve articles in all journals with MSC (2000): 60H30, 60J35, 60J65


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: http://dx.doi.org/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): August 31, 2006
Published electronically: January 21, 2009
Article copyright: © Copyright 2009 American Mathematical Society