Asymptotic arbitrage in fractional mixed markets

DOI10.15559/18-VMSTA109zbMath1433.91162arXiv1602.02953OpenAlexW2272448677MaRDI QIDQ2326514

Fernando Cordero, Irene Klein, Lavinia Perez-Ostafe

Publication date: 8 October 2019

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.02953

zbMATH Keywords

relative entropymixed fractional Brownian motionlarge financial marketentire asymptotic separationstrong asymptotic arbitrage

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Financial markets (91G15)

Cites Work

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• Strong asymptotic arbitrage in the large fractional binary market
• The fundamental theorem of asset pricing for continuous processes under small transaction costs
• An extended dichotomy theorem for sequences of pairs of Gaussian measures
• Asymptotic arbitrage in large financial markets
• Mixed fractional Brownian motion
• Equivalent martingale measures for large financial markets in discrete time
• CRITICAL TRANSACTION COSTS AND 1-STEP ASYMPTOTIC ARBITRAGE IN FRACTIONAL BINARY MARKETS

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