Arbitrage with fractional Gaussian processes
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Publication:1620481
DOI10.1016/j.physa.2016.12.064zbMath1400.91692OpenAlexW2565616486MaRDI QIDQ1620481
Publication date: 13 November 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2016.12.064
Black-Scholes modellong-range dependenceself-financingarbitrage opportunitiesfractional Gaussian processes
Fractional processes, including fractional Brownian motion (60G22) Financial applications of other theories (91G80)
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