We study the connections of two different pathwise hedging approaches. These approaches are Bender-Sottinen-Valkeila (BSV) by Bender et al. (2008, Pricing by hedging and no-arbitrage beyond semimartingales, finance and stochastics, 12(4), pp. 441--468.) and Cont and Fournié (CF) by Cont and...

If we compose a smooth function g with fractional Brownian motion B with Hurst index , then the resulting change of variables formula (or Itô formula) has the same form as if fractional Brownian motion was a continuous function with bounded variation. In this note we prove a new integral...