The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions

• Date: 2008
• Main Authors: Bratyk, M., Mishura, Y.
• Format: Article
• Language: English
• Published: Інститут математики НАН України 2008
• Online Access: https://nasplib.isofts.kiev.ua/handle/123456789/4566
• 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.

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.