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Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices
dynamic coherent acceptability index conic finance dynamic coherent risk measures transaction costs dividend paying securities
2012/6/5
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a versi...
Fractional processes as models in stochastic finance
Fractional Brownian motion arbitrage hedging in fractional models approximation of geometric fractional Brownian motion
2010/4/28
We survey some new progress on the pricing models driven by fractional Brownian motion \cb{or} mixed fractional Brownian motion. In particular, we give results on arbitrage opportunities, hedging, and...