分数阶Black Scholes模型的影子价格近似

Int. J. Math. Math. Sci. Pub Date : 2022-08-29 DOI:10.1155/2022/4719482

Dolemweogo Sibiri Narcisse, Béré Frédéric, Nitiéma S. Pierre Clovis

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引用次数: 0

摘要

在这项工作中，我们使用Tran Hung Thao的分数布朗运动近似来近似分数布莱克斯科尔斯模型的影子价格。在交易成本下的投资组合优化问题中，为了使效用函数期望最大化，影子价格用马尔可夫过程和半鞅逼近。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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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 approximated by a Markovian process and semimartingale.

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Int. J. Math. Math. Sci.

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