On arbitrage and replication in the fractional Black–Scholes pricing model

DOI10.1524/stnd.21.2.93.19003zbMath1041.60055OpenAlexW2052558712MaRDI QIDQ4459750

Esko Valkeila, Tommi Sottinen

Publication date: 18 May 2004

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.21.2.93.19003

zbMATH Keywords

fractional Brownian motionMalliavin calculusoption pricingstochastic integrationarbitragereplicationpathwise stochastic integrationfractional Black-Scholes model

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (21)

Fractional term structure models: No-arbitrage and consistency ⋮ Pathwise integrals and Itô-Tanaka formula for Gaussian processes ⋮ OPTIONS WITH UNDERLYING ASSET DRIVEN BY A FRACTIONAL BROWNIAN MOTION: CROSSING BARRIERS ESTIMATES ⋮ A Small Noise Asymptotic Expansion for Young SDE Driven by Fractional Brownian Motion: A Sharp Error Estimate With Malliavin Calculus ⋮ APIK: Active Physics-Informed Kriging Model with Partial Differential Equations ⋮ Arbitrage without borrowing or short selling? ⋮ Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets ⋮ CEV model equipped with the long-memory ⋮ THE VALUATION OF EUROPEAN OPTION UNDER SUBDIFFUSIVE FRACTIONAL BROWNIAN MOTION OF THE SHORT RATE ⋮ ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS ⋮ ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC ⋮ Weak and strong discrete-time approximation of fractional SDEs ⋮ On arbitrage and Markovian short rates in fractional bond markets ⋮ Some long-range dependence processes arising from fluctuations of particle systems ⋮ Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs ⋮ Moderate deviation principle for multiscale systems driven by fractional Brownian motion ⋮ Unnamed Item ⋮ The fractional and mixed-fractional CEV model ⋮ PRICING DERIVATIVES IN HERMITE MARKETS ⋮ Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics ⋮ Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data

This page was built for publication: On arbitrage and replication in the fractional Black–Scholes pricing model