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