Arbitrage with fractional Gaussian processes
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Cites work
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- A general version of the fundamental theorem of asset pricing
- A note on Wick products and the fractional Black-Scholes model
- An approximation of subfractional Brownian motion
- An explicit closed-form analytical solution for European options under the CGMY model
- Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
- Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market
- Arbitrage opportunities for a class of Gladyshev processes
- Arbitrage with Fractional Brownian Motion
- Empirical properties of asset returns: stylized facts and statistical issues
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional Brownian motion, random walks and binary market models
- Fractional {O}rnstein-{U}hlenbeck processes
- High-frequency trading model for a complex trading hierarchy
- Introduction to Econophysics
- Long-Term Memory in Stock Market Prices
- Mixed fractional Brownian motion
- NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
- No-arbitrage, leverage and completeness in a fractional volatility model
- Numerically pricing American options under the generalized mixed fractional Brownian motion model
- Occupation time limits of inhomogeneous Poisson systems of independent particles
- On bifractional Brownian motion
- Option pricing and portfolio hedging under the mixed hedging strategy
- Option pricing in fractional Brownian markets
- Pricing currency options in the mixed fractional Brownian motion
- Pricing european option under the time-changed mixed Brownian-fractional Brownian model
- Pricing geometric Asian power options under mixed fractional Brownian motion environment
- Scaling and universality in economics: empirical results and theoretical interpretation
- Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems
- Some properties of the sub-fractional Brownian motion
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Stochastic analysis of fractional brownian motions
- Stochastic calculus for fractional Brownian motion and related processes.
- Stock market prices and long-range dependence
- Sub-fractional Brownian motion and its relation to occupation times
- Tempered fractional Brownian motion
- The fundamental theorem of asset pricing under transaction costs
- The pricing of credit default swaps under a generalized mixed fractional Brownian motion
- The pricing of options and corporate liabilities
Cited in
(11)- How does tempering affect the local and global properties of fractional Brownian motion?
- Arbitrage in fractional Brownian motion models
- Feynman-Kac formula for general diffusion equations driven by TFBM with Hurst index \(H \in (0,1)\)
- scientific article; zbMATH DE number 5220411 (Why is no real title available?)
- Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
- Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market
- The continuity, regularity and polynomial stability of mild solutions for stochastic 2D-Stokes equations with unbounded delay driven by tempered fractional Gaussian noise
- Default probability of American lookback option in a mixed jump-diffusion model
- The sub-fractional CEV model
- Asset pricing and simulation analysis based on mixed Gaussian process and jump environment with transaction costs
- Tempered fractional Brownian motion: wavelet estimation, modeling and testing
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