Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics

DOI10.1080/17442500600859317zbMath1115.60043OpenAlexW2055261816MaRDI QIDQ3426320

Taras O. Androshchuk, Yuliya S. Mishura

Publication date: 8 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500600859317

zbMATH Keywords

fractional Brownian motionabsence of arbitrageBlack-Merton-Scholes model

Mathematics Subject Classification ID

Related Items (14)

A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval ⋮ Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model ⋮ Optimization of small deviation for mixed fractional Brownian motion with trend ⋮ Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent ⋮ On pricing and hedging in financial markets with long-range dependence ⋮ Distance from fractional Brownian motion with associated Hurst index \(0<H<1/2\) to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent ⋮ Valuation of the vulnerable option price based on mixed fractional Brownian motion ⋮ CEV model equipped with the long-memory ⋮ Approximation of fractional Brownian motion by martingales ⋮ A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion ⋮ Pricing by hedging and no-arbitrage beyond semimartingales ⋮ Analysis of the Rosenblatt process ⋮ The fractional and mixed-fractional CEV model ⋮ Asymptotic behavior of mixed power variations and statistical estimation in mixed models

Cites Work

• Integration with respect to fractal functions and stochastic calculus. I
• On fractional Brownian processes
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• The generalized covariation process and Itô formula
• A note on Wick products and the fractional Black-Scholes model
• Integration with respect to Fractal Functions and Stochastic Calculus II
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA
• Arbitrage with Fractional Brownian Motion
• A General Fractional White Noise Theory And Applications To Finance
• On arbitrage and replication in the fractional Black–Scholes pricing model
• The absence of arbitrage in a model with fractal Brownian motion

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