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Asymptotics for discrete time hedging errors under fractional Black–Scholes models

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  • Wang, Wensheng

Abstract

In this paper, we analyze the hedging errors due to discrete time trading, the exact growth rates of discrete time hedging errors under fractional Black–Scholes (BS) models with the fractional pathwise integral and the fractional Wick–Itô–Skorohod integral are investigated respectively.

Suggested Citation

  • Wang, Wensheng, 2019. "Asymptotics for discrete time hedging errors under fractional Black–Scholes models," Statistics & Probability Letters, Elsevier, vol. 149(C), pages 160-170.
    • Handle: RePEc:eee:stapro:v:149:y:2019:i:c:p:160-170
    DOI: 10.1016/j.spl.2019.02.007
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    References listed on IDEAS

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