Shadow price approximation for the fractional black scholes model

HIGHLIGHTS

• who: Dolemweogo Sibiri Narcisse et al. from the Département de Mathématiques, Université Joseph KI-ZERBO, BP, Ouagadougou, Burkina Faso have published the article: Shadow Price Approximation for the Fractional Black Scholes Model, in the Journal: International Journal of Mathematics and Mathematical Sciences of 29/08/2022
• what: The authors have proposed a shadow price approximation method for the fractional Black model in the sense of Wick-Itô in the context of an optimization problem under transaction costs.
• how: The authors used Tran Hung Thao's approximation of fractional Brownian motion to . . .
  

   

  

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