Asymptotic analysis for hedging errors in models with respect to geometric fractional Brownian motion. Issue 3 (3rd April 2019)

• Record Type: Journal Article
• Authors: Wang, Wensheng
• Is Part Of: Stochastics. Volume 91:Issue 3(2019)
• Page Start: 407
• Page End: 432
• Publication Date: 2019-04-03
• Subjects: Discrete time hedging error -- risk -- fractional stochastic integral model -- convergence -- geometric fractional Brownian motion; Stochastic processes -- Periodicals; Probabilities -- Periodicals; 519.2
• DOI: 10.1080/17442508.2018.1540626
• Languages: English
• ISSNs: 1744-2508

Abstract

ABSTRACT: In this paper, we investigate asymptotic behaviour for rates of discrete time hedging errors in models with respect to geometric fractional Brownian motion with Hurst parameterH > 1 2 . We analyse the rates of hedging errors due to discrete time trading when the true strategy is known, and the exact rates of convergence and limit distributions of hedging errors for models with respect to the fractional pathwise integral and the fractional Wick–Itô–Skorohod integral are investigated.