ARTICLE
SHADOW PRICE APPROXIMATION FOR THE FRACTIONAL STOCHASTIC ALPHA BETA RHO MODEL
- Advances and Applications in Statistics , 89 (1) : 1-27
Lien de l'article :
http://dx.doi.org/10.17654/0972361723049
Discipline :
Mathématiques
Auteur(s) :
Abel ZONGO, Raogo Frank Emile 1er Jumeau KABORE, Ywo Josué BAZIE, Abdoul Karim DRABO and S. Pierre Clovis NITIEMA
Auteur(s) tagués :
DRABO Abdoul Karim
Renseignée par : DRABO Abdoul Karim
Résumé
The aim of this paper is to introduce a shadow price approximation
approach to fractional stochastic Alpha Beta Rho model. This new
approach is an extension of shadow price to semi-martingale processes
driven by fractional Brownian motions.
Mots-clés
SABR-fractional model, Wick-Itô, shadow price.