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arxiv: 1706.01534 · v2 · pith:RMCMQNIRnew · submitted 2017-05-05 · 💱 q-fin.PR · math.ST· stat.TH

Hedging in fractional Black-Scholes model with transaction costs

classification 💱 q-fin.PR math.STstat.TH
keywords fractionalhedgingblack-scholesconditional-meancostsexplicitmodeltransaction
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We consider conditional-mean hedging in a fractional Black-Scholes pricing model in the presence of proportional transaction costs. We develop an explicit formula for the conditional-mean hedging portfolio in terms of the recently discovered explicit conditional law of the fractional Brownian motion.

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