Arbitrage opportunities for a class of Gladyshev processes

DOI10.1007/S002459911019zbMath0960.91053OpenAlexW2050131490MaRDI QIDQ1568192

Amites Dasgupta, Gopinath Kallianpur

Publication date: 20 May 2001

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s002459911019

zbMATH Keywords

fractional Brownian motionarbitrage strategyGladyshev processes

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Stochastic integrals (60H05)

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