Tolerance to arbitrage
From MaRDI portal
Publication:1805785
DOI10.1016/S0304-4149(98)00025-8zbMath0934.91022OpenAlexW2169672610WikidataQ127884297 ScholiaQ127884297MaRDI QIDQ1805785
Publication date: 18 November 1999
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4149(98)00025-8
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (25)
A new class of nearly self-financing strategies ⋮ A closed-form approximation for the fractional Black-Scholes model with transaction costs ⋮ On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions ⋮ Stochastic Volatility and Multifractional Brownian Motion ⋮ A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1) ⋮ Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost ⋮ Arbitrage without borrowing or short selling? ⋮ On the fractional stochastic integration for random non-smooth integrands ⋮ On pricing and hedging in financial markets with long-range dependence ⋮ Consistent price systems and face-lifting pricing under transaction costs ⋮ Modelling NASDAQ series by sparse multifractional Brownian motion ⋮ On stochastic calculus related to financial assets without semimartingales ⋮ Rough paths in idealized financial markets ⋮ Model-free CPPI ⋮ ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC ⋮ Stochastic volatility and fractional Brownian motion ⋮ On arbitrage and Markovian short rates in fractional bond markets ⋮ High-frequency trading with fractional Brownian motion ⋮ No-arbitrage, leverage and completeness in a fractional volatility model ⋮ NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND ⋮ Trading Fractional Brownian Motion ⋮ Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model ⋮ A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds ⋮ From Market Data to Agent-Based Models and Stochastic Differential Equations ⋮ Gaussian moving averages, semimartingales and option pricing.
Cites Work
- Martingales and stochastic integrals in the theory of continuous trading
- Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
- Sample functions of the Gaussian process
- An inequality of the Hölder type, connected with Stieltjes integration
- Arbitrage with Fractional Brownian Motion
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Tolerance to arbitrage
