No-arbitrage, leverage and completeness in a fractional volatility model (Q1783279)

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No-arbitrage, leverage and completeness in a fractional volatility model
scientific article

    Statements

    title
    No-arbitrage, leverage and completeness in a fractional volatility model (English)
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    author
    G. Richomme
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    published in
    Physica A
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    publication date
    20 September 2018
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    zbMATH Keywords
    fractional noise
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    arbitrage
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    market completeness
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    Identifiers

    zbMATH DE Number
    6940501
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    OpenAlex ID
    W2130252893
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    arXiv ID
    1205.2866
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