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Stochastic Analysis and Applications
Volumn 19, Issue 5, 2001, Pages 753-770
Hedging options in market models modulated by the fractional Brownian motion
Author keywords

Fractional Brownian motion; Hedging options; Stochastic calculus of variations; Stochastic volatility
Indexed keywords

EID: 0035601314     PISSN: 07362994     EISSN: None     Source Type: Journal    
DOI: 10.1081/SAP-120000220     Document Type: Article
Times cited : (11)
References (12)
  • 1
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    • White noise generalizations of the Clark-Ocone theorem with application to mathematical finance
    • Aase, K.; Øksendal, B.; Privault, N.; Ubøe, J. White noise generalizations of the Clark-Ocone theorem with application to mathematical finance. Finance and Stochastics 2000, 4 (4), 465-496.
    • (2000) Finance and Stochastics , vol.4 , Issue.4 , pp. 465-496
    • Aase, K.1    ØKsendal, B.2    Privault, N.3    Ubøe, J.4
  • 2
    • 0040126850 scopus 로고
    • The Black-Scholes option pricing problem in mathematical finance: Generalization and extensions for a large class of stochastic processes
    • Bouchaud, J.P.; Sornette, D. The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes. J. Phys. France 1994, 2, 107-130.
    • (1994) J. Phys. France , vol.2 , pp. 107-130
    • Bouchaud, J.P.1    Sornette, D.2
  • 3
    • 0039907778 scopus 로고    scopus 로고
    • Martingale representation and a simple proof of logarithmic Sobolev inequalities on path spaces
    • Capitaine, M.; Hsu, E.P.; Ledoux, M. Martingale representation and a simple proof of logarithmic Sobolev inequalities on path spaces. Elect. Comm. in Prob. 1997, 2, 71-81.
    • (1997) Elect. Comm. in Prob. , vol.2 , pp. 71-81
    • Capitaine, M.1    Hsu, E.P.2    Ledoux, M.3
  • 4
    • 0032356952 scopus 로고    scopus 로고
    • Long memory in continuous-time stochastic volatility models
    • Comte, F.; Renault, E. Long memory in continuous-time stochastic volatility models. Math. Finance 1998, 8 (4), 291-323.
    • (1998) Math. Finance , vol.8 , Issue.4 , pp. 291-323
    • Comte, F.1    Renault, E.2
  • 5
    • 0042637937 scopus 로고    scopus 로고
    • Stochastic analysis of the fractional Brownian motion
    • Decreusefond, L.; Üstünel, A.S. Stochastic Analysis of the Fractional Brownian Motion. Potential Analysis 1999, 10 (2), 177-214.
    • (1999) Potential Analysis , vol.10 , Issue.2 , pp. 177-214
    • Decreusefond, L.1    Üstünel, A.S.2
  • 6
    • 84972528658 scopus 로고
    • Quadratic covariation and an extension of Itô's Formula
    • Föllmer, H.; Protter, P.; Shiryaev, A.N. Quadratic covariation and an extension of Itô's Formula. Bernoulli 1995, 1 (1 -2), 149-170.
    • (1995) Bernoulli , vol.1 , Issue.1-2 , pp. 149-170
    • Föllmer, H.1    Protter, P.2    Shiryaev, A.N.3
  • 7
    • 0001283920 scopus 로고
    • A generalized Clark formula with application to optimal portfolios
    • Karatzas, I.; Ocone, D.L. A generalized Clark formula with application to optimal portfolios. Stochastics and Stochastics Reports 1991, 34 (3-4), 187-220.
    • (1991) Stochastics and Stochastics Reports , vol.34 , Issue.3-4 , pp. 187-220
    • Karatzas, I.1    Ocone, D.L.2
  • 8
    • 0000746261 scopus 로고
    • Stochastic analysis of fractional Brownian motions
    • Lin, S.J. Stochastic Analysis of Fractional Brownian Motions. Stochastics and Stochastics Reports 1995, 55 (1 -2), 121 -140.
    • (1995) Stochastics and Stochastics Reports , vol.55 , Issue.1-2 , pp. 121-140
    • Lin, S.J.1
  • 11
    • 0031540977 scopus 로고    scopus 로고
    • Arbitrage with fractional Brownian motion
    • Rogers, L.C.G. Arbitrage with fractional Brownian motion. Mathematical Finance 1997, 7 (1), 95-105.
    • (1997) Mathematical Finance , vol.7 , Issue.1 , pp. 95-105
    • Rogers, L.C.G.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.