MINIMAL VARIANCE HEDGING FOR FRACTIONAL BROWNIAN MOTION
BIAGINI, FRANCESCA ; ØKSENDAL, BERNT
Methods Appl. Anal., Tome 10 (2003) no. 3, p. 347-362 / Harvested from Project Euclid
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We discuss the extension to the multi-dimensional case of the Wick-Itô integral with respect to fractional Brownian motion, introduced by [6] in the 1-dimensional case. We prove a multidimensional Itô type isometry for such integrals, which is used in the proof of the multi-dimensional Itô formula. The results are applied to study the problem of minimal variance hedging in a market driven by fractional Brownian motions.
Publié le : 2003-08-14
Classification:  
@article{1087841033,
     author = {BIAGINI, FRANCESCA and \O KSENDAL, BERNT},
     title = {MINIMAL VARIANCE HEDGING FOR FRACTIONAL
BROWNIAN MOTION},
     journal = {Methods Appl. Anal.},
     volume = {10},
     number = {3},
     year = {2003},
     pages = { 347-362},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1087841033}
}

BIAGINI, FRANCESCA; ØKSENDAL, BERNT. MINIMAL VARIANCE HEDGING FOR FRACTIONAL
BROWNIAN MOTION. Methods Appl. Anal., Tome 10 (2003) no. 3, pp.  347-362. http://gdmltest.u-ga.fr/item/1087841033/