Arbitrage with fractional Gaussian processes

DOI10.1016/J.PHYSA.2016.12.064zbMATH Open1400.91692OpenAlexW2565616486MaRDI QIDQ1620481FDOQ1620481

Authors: Xili Zhang, Wei-Lin Xiao 

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

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zbMATH Keywords

long-range dependenceBlack-Scholes modelself-financingarbitrage opportunitiesfractional Gaussian processes

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Financial applications of other theories (91G80)

Cites Work

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Cited In (11)

• How does tempering affect the local and global properties of fractional Brownian motion?
• Feynman-Kac formula for general diffusion equations driven by TFBM with Hurst index \(H \in (0,1)\)
• Arbitrage in fractional Brownian motion models
• Title not available (Why is that?)
• 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
• Asset pricing and simulation analysis based on mixed Gaussian process and jump environment with transaction costs
• Default probability of American lookback option in a mixed jump-diffusion model
• The sub-fractional CEV model
• Tempered fractional Brownian motion: wavelet estimation, modeling and testing

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