### THE GENERALIZATION OF THE QUANTILE HEDGING PROBLEM FOR PRICE PROCESS MODEL INVOLVING FINITE NUMBER OF BROWNIAN AND FRACTIONAL BROWNIAN MOTIONS

**MYKHAYLO BRATYK AND YULIYA MISHURA**

*Theory of Stochastic Processes*

*Vol.14 (30), no.3-4, 2008, pp.27-38*

The paper is devoted to the problem of quantile hedging of contingent claims in the framework of a model defined by the finite number of independent Brownian and fractional Brownian motions. The maximal success probability depending on initial capital is estimated.

Full version