# Hedging in fractional Black-Scholes model with transaction costs

## TL;DR

This paper develops an explicit formula for conditional-mean hedging in a fractional Black-Scholes model with transaction costs, leveraging recent advances in the explicit law of fractional Brownian motion.

## Contribution

It introduces a novel explicit hedging formula in a fractional Black-Scholes setting with transaction costs, based on recent probabilistic developments.

## Key findings

- Explicit hedging formula derived for fractional Black-Scholes model
- Incorporates proportional transaction costs into hedging strategy
- Utilizes recent explicit law of fractional Brownian motion

## Abstract

We consider conditional-mean hedging in a fractional Black-Scholes pricing model in the presence of proportional transaction costs. We develop an explicit formula for the conditional-mean hedging portfolio in terms of the recently discovered explicit conditional law of the fractional Brownian motion.