TY - JOUR A2 - Dshalalow, Jewgeni AU - Narcisse, Dolemweogo Sibiri AU - Frédéric, Béré AU - Clovis, Nitiéma Pierre PY - 2022 DA - 2022/08/29 TI - Shadow Price Approximation for the Fractional Black Scholes Model SP - 4719482 VL- 2022 AB - In this work, we used Tran Hung Thao’s approximation of fractional Brownian motion to approximate the shadow price of the fractional Black Scholes model. In the case to maximize expectation of the utility function in a portfolio optimization problem under transaction cost, the shadow price is approximated by a Markovian process and semimartingale. SN - 0161-1712 UR - https://doi.org/10.1155/2022/4719482 DO - 10.1155/2022/4719482 JF - International Journal of Mathematics and Mathematical Sciences PB - Hindawi KW - ER -