CONVERGENCE OF THE MAXIMUM PROBABILITY OF SUCCESS IN THE PROBLEM OF QUANTILE HEDGING FOR A MODEL OF AN ASSET PRICE PROCESS WITH LONG-RANGE DEPENDENCE

M. V. BRATYK; YU. V. KOZACHENKO; YU. S. MISHURA

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CONVERGENCE OF THE MAXIMUM PROBABILITY OF SUCCESS IN THE PROBLEM OF QUANTILE HEDGING FOR A MODEL OF AN ASSET PRICE PROCESS WITH LONG-RANGE DEPENDENCE

机译：长距离依赖资产价格模型的量化对冲问题中最大成功概率的收敛性

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摘要

The convergence in probability of the sets of maximum probability of success is studied in the problem of quantile hedging for a model of an asset price process involving Brownian and fractional Brownian motions.

机译：在涉及布朗运动和分数布朗运动的资产价格过程模型的分位数对冲问题中，研究了最大成功概率集的概率收敛。

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《Theory of probability and mathematical statistics》 |2012年第null期|共17页
作者
M. V. BRATYK; YU. V. KOZACHENKO; YU. S. MISHURA;
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正文语种 eng
中图分类概率论与数理统计;
关键词
Quantile hedging; fractional Brownian motion; mixed model; limit theorems; probability of success;

机译：分位数对冲;分数布朗运动;混合模型;极限定理;成功概率;

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1. CONVERGENCE OF THE MAXIMUM PROBABILITY OF SUCCESS IN THE PROBLEM OF QUANTILE HEDGING FOR A MODEL OF AN ASSET PRICE PROCESS WITH LONG-RANGE DEPENDENCE [J] . M. V. BRATYK, YU. V. KOZACHENKO, YU. S. MISHURA Theory of probability and mathematical statistics . 2012,第Null期

机译：长距离依赖资产价格模型的量化对冲问题中最大成功概率的收敛性
2. Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach [J] . Sim Nicholas International Review of Financial Analysis . 2016,第DECa期

机译：通过Copula分位数分位数方法对金融资产的依存结构建模
3. On pricing and hedging in financial markets with long-range dependence [J] . Alexander Melnikov, Yuliya Mishura Mathematics and financial economics . 2011,第1期

机译：长期依赖金融市场中的定价和对冲
4. Predicting Stock Returns in the Capital Asset Pricing Model Using Quantile Regression and Belief Functions [C] . Kittawit Autchariyapanitkul, Somsak Chanaim, Songsak Sriboonchitta, International conference on belief function . 2014

机译：使用分位数回归和信念函数在资本资产定价模型中预测股票收益
5. Almost sure convergence of the maximum of a stationary sequence and asymptotic properties of probability weighted moments. [D] . Naveau, Philippe Jean-Marie. 1998

机译：平稳序列的最大值和概率加权矩的渐近性质的几乎确定的收敛性。
6. Divergence from and Convergence to Uniformity of Probability Density Quantiles [O] . Robert G. Staudte, Aihua Xia 2018

机译：从概率密度定量的均匀性分歧和收敛性均匀性
7. Interaction Models for Common Long-Range Dependence in Asset Prices Volatility [O] . 2015

机译：资产价格波动中共同长期依赖的相互作用模型

CONVERGENCE OF THE MAXIMUM PROBABILITY OF SUCCESS IN THE PROBLEM OF QUANTILE HEDGING FOR A MODEL OF AN ASSET PRICE PROCESS WITH LONG-RANGE DEPENDENCE

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