| dc.date.accessioned | 2013-03-12T08:18:13Z | |
| dc.date.available | 2013-03-12T08:18:13Z | |
| dc.date.issued | 2002 | en_US |
| dc.date.submitted | 2009-12-17 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10667 | |
| dc.description.abstract | We discuss the extension to the multi-dimensional case of the Wick-Itô integral with respect to fractional Brownian motion, introduced by [DHP] in the 1-dimensional case. We prove a multi-dimensional 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. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2002). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | Minimal variance hedging for fractional Brownian motion. | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2009-12-17 | en_US |
| dc.rights.holder | Copyright 2002 The Author(s) | |
| dc.creator.author | Biagini, Francesca | en_US |
| dc.creator.author | Øksendal, Bernt | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-23787 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 97996 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10667/1/pm01-02.pdf | |