On the fractional Black-Scholes market with transaction costs

الأصل · EN

We consider fractional Black-Scholes market with proportional transaction costs. When transaction costs are present, one trades periodically i.e. we have the discrete trading with equidistance n⁻¹ between trading times. We derive a non trivial hedging error for a class of European options with convex payoff in the case when the transaction costs coefficients decrease as n⁻⁽¹⁻ʰ⁾. We study the expected hedging error and asymptotic behavior of the hedge as H → 1/2