ARTICLE
Shadow Price Approximation for the Fractional Black Scholes Model
- International Journal of Mathematics and Mathematical Sciences , Volume 2022, Article ID 4719482, 10 pages : 1-10
Lien de l'article :
https://doi.org/10.1155/2022/4719482
Discipline :
Mathématiques
Auteur(s) :
Dolemweogo Sibiri Narcisse; Béré Frédéric ; Nitiéma Pierre Clovis
Auteur(s) tagués :
DOLEMWEOGO Sibiri Narcisse
Renseignée par : DOLEMWEOGO Sibiri Narcisse
Résumé
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 approximated by a Markovian process and semimartingale.
Mots-clés
Théorie de la dualité convexe; Wick-Ito, semimartingale; Shadow price