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ЖУРНАЛЫ // Theory of Stochastic Processes // Архив

Theory Stoch. Process., 2008, том 14(30), выпуск 3, страницы 27–38 (Mi thsp211)

The generalization of the quantile hedging problem for price process model involving finite number of brownian and fractional brownian motions

Mykhaylo Bratyka, Yuliya Mishurab

a Department of Mathematics, The University of ”Kyiv-Mohyla Academy”, Kyiv, Ukraine
b Department of Probability Theory and Mathematical Statistics, Kyiv National Taras Shevchenko University, Kyiv, Ukraine

Аннотация: The paper is devoted to the problem of quantile hedging of contingent claims in the framework of a model de?ned by the finite number of independent Brownian and fractional Brownian motions. The maximal success probability depending on initial capital is estimated.

Ключевые слова: Quantile hedging, incomplete market, fractional Brownian motion.

MSC: 91B28, 60G48, 60G15

Язык публикации: английский



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