Arbitrage with fractional Gaussian processes (Q1620481)
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scientific article; zbMATH DE number 6979005
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Arbitrage with fractional Gaussian processes |
scientific article; zbMATH DE number 6979005 |
Statements
Arbitrage with fractional Gaussian processes (English)
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13 November 2018
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arbitrage opportunities
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fractional Gaussian processes
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Black-Scholes model
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self-financing
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long-range dependence
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0.8631193041801453
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0.8298294544219971
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0.8179333806037903
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