Shadow Price Approximation for the Fractional Black Scholes Model
In this work, we used Tran Hung Thao’s approximation of fractional Brownian motion to approximate the shadow price of the fractional Black Scholes model. In the case to maximize expectation of the utility function in a portfolio optimization problem under transaction cost, the shadow price is approx...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
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| Series: | International Journal of Mathematics and Mathematical Sciences |
| Online Access: | http://dx.doi.org/10.1155/2022/4719482 |
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