Arbitrage opportunities for a class of Gladyshev processes (Q1568192)

In the context of financial models, the authors show the existence of an arbitrage strategy when the underlying asset is driven by a fractional Brownian motion. Their method is generalized to be applied to a class of Gaussian processes, namely Gladyshev processes. The stock price process is \(S_t= \exp \{\mu t+ \sigma B_H(t)\}-1)\), where \(B_H\) is a fractional Brownian motion, for \(\frac 12< H< 1\). Theorem 3.1. The portfolio process \(\pi(t)= 2S_t (\exp \{\sigma B_H(t)\}- 1)\) defines an arbitrage opportunity. Section 4 extends this result giving conditions under which a Gladyshev process is not a semimartingale.