Tolerance to arbitrage

DOI10.1016/S0304-4149(98)00025-8zbMath0934.91022MaRDI QIDQ1805785

Donna Mary Salopek

Publication date: 18 November 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motion; arbitrage; \(p\)-variation; security market model

Mathematics Subject Classification ID

60G35: Signal detection and filtering (aspects of stochastic processes)

60G17: Sample path properties

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