Arbitrage in fractional Brownian motion models (Q1424724): Difference between revisions
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Latest revision as of 01:38, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Arbitrage in fractional Brownian motion models |
scientific article |
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Arbitrage in fractional Brownian motion models (English)
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16 March 2004
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The author considers a financial market on a compact interval where money can be invested in a money market account and a stock whose discounted price follows a fractional Brownian motion with drift or an exponential fractional Brownian motion with drift. Different notions of arbitrage are given and trading strategies are specified. Then arbitrage strategies consisting of combinations of buy and hold strategies are constructed. At last, it is shown that arbitrage can be excluded from models by introducing a minimal amount of time that must lie between two consecutive transactions.
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fractional Brownian motion
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arbitrage
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strong arbitrage
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exclusion of arbitrage
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