The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions
The paper is devoted to the problem of quantile hedging of contingent claims in the framework of a model defined by the finite number of independent Brownian and fractional Brownian motions. The maximal success probability depending on initial capital is estimated.
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| Date: | 2008 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Інститут математики НАН України
2008
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| Online Access: | https://nasplib.isofts.kiev.ua/handle/123456789/4566 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions / M. Bratyk, Y. Mishura // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 3-4. — С. 27-38. — Бібліогр.: 6 назв.— англ. |
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Digital Library of Periodicals of National Academy of Sciences of Ukraine| id |
nasplib_isofts_kiev_ua-123456789-4566 |
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Bratyk, M. Mishura, Y. 2009-12-07T15:32:56Z 2009-12-07T15:32:56Z 2008 The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions / M. Bratyk, Y. Mishura // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 3-4. — С. 27-38. — Бібліогр.: 6 назв.— англ. 0321-3900 https://nasplib.isofts.kiev.ua/handle/123456789/4566 The paper is devoted to the problem of quantile hedging of contingent claims in the framework of a model defined by the finite number of independent Brownian and fractional Brownian motions. The maximal success probability depending on initial capital is estimated. en Інститут математики НАН України The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions Article published earlier |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| title |
The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions |
| spellingShingle |
The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions Bratyk, M. Mishura, Y. |
| title_short |
The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions |
| title_full |
The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions |
| title_fullStr |
The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions |
| title_full_unstemmed |
The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions |
| title_sort |
generalization of the quantile hedging problem for price process model involving finite number of brownian and fractional brownian motions |
| author |
Bratyk, M. Mishura, Y. |
| author_facet |
Bratyk, M. Mishura, Y. |
| publishDate |
2008 |
| language |
English |
| publisher |
Інститут математики НАН України |
| format |
Article |
| description |
The paper is devoted to the problem of quantile hedging of contingent claims in the framework of a model defined by the finite number of independent Brownian and fractional Brownian motions. The maximal success probability depending on initial capital is estimated.
|
| issn |
0321-3900 |
| url |
https://nasplib.isofts.kiev.ua/handle/123456789/4566 |
| citation_txt |
The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions / M. Bratyk, Y. Mishura // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 3-4. — С. 27-38. — Бібліогр.: 6 назв.— англ. |
| work_keys_str_mv |
AT bratykm thegeneralizationofthequantilehedgingproblemforpriceprocessmodelinvolvingfinitenumberofbrownianandfractionalbrownianmotions AT mishuray thegeneralizationofthequantilehedgingproblemforpriceprocessmodelinvolvingfinitenumberofbrownianandfractionalbrownianmotions AT bratykm generalizationofthequantilehedgingproblemforpriceprocessmodelinvolvingfinitenumberofbrownianandfractionalbrownianmotions AT mishuray generalizationofthequantilehedgingproblemforpriceprocessmodelinvolvingfinitenumberofbrownianandfractionalbrownianmotions |
| first_indexed |
2025-11-27T15:17:03Z |
| last_indexed |
2025-11-27T15:17:03Z |
| _version_ |
1850852429150552064 |