On pricing and hedging in financial markets with long-range dependence (Q1938961): Difference between revisions

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+Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics
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+Pricing by hedging and no-arbitrage beyond semimartingales
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+Mixed fractional Brownian motion
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+Efficient hedging: cost versus shortfall risk
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+Arbitrage with Fractional Brownian Motion
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+Tolerance to arbitrage
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+ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
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