Tolerance to arbitrage (Q1805785): Difference between revisions
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Revision as of 17:43, 27 February 2024
scientific article
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English | Tolerance to arbitrage |
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Tolerance to arbitrage (English)
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18 November 1999
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The author studies models of a frictionless security market where the prices are continuous processes of bounded \(p\)-variation, \(p\in [1,2)\). Specifically, ``volatility terms'' of the price processes are fractional Brownian motions with index \(1/2<H<1\), \(1/H<p\). An explicit arbitrage trading strategy is constructed for such a market, based on Hardy's inequalities for \(\alpha \)-order power means of the prices. The result is an extension of the already known fact that price processes of bounded variation (\(p=1\)) admit arbitrage.
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security market model
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arbitrage
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fractional Brownian motion
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\(p\)-variation
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