Tolerance to arbitrage (Q1805785)

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Tolerance to arbitrage
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    Tolerance to arbitrage (English)
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    18 November 1999
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    The author studies models of a frictionless security market where the prices are continuous processes of bounded \(p\)-variation, \(p\in [1,2)\). Specifically, ``volatility terms'' of the price processes are fractional Brownian motions with index \(1/2<H<1\), \(1/H<p\). An explicit arbitrage trading strategy is constructed for such a market, based on Hardy's inequalities for \(\alpha \)-order power means of the prices. The result is an extension of the already known fact that price processes of bounded variation (\(p=1\)) admit arbitrage.
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    security market model
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    arbitrage
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    fractional Brownian motion
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    \(p\)-variation
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