ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC

DOI10.1142/S0219024905003037MaRDI QIDQ3023915zbMATH OpenOpenAlexFDO

Authors Erhan Bayraktar, H. Vincent Poor

Publication date 6 July 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024905003037

zbMATH Keywords

arbitragefractal market modelsFractional Brownian motionstochastic integrationstochastic volatility

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Arbitrage in fractional Brownian motion models
• On arbitrage and replication in the fractional Black–Scholes pricing model
• The absence of arbitrage in a model with fractal Brownian motion
• Stochastic volatility models with volatility driven by fractional Brownian motions
• Affine fractional stochastic volatility models
• Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market
• MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
• A fractional Black-Scholes model with jumps

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A critical look at Lo's modified \(R/S\) statistic.
• A general version of the fundamental theorem of asset pricing
• A Microeconomic Approach to Diffusion Models For Stock Prices
• Arbitrage in fractional Brownian motion models
• Arbitrage with Fractional Brownian Motion
• Fractional Brownian motion as a weak limit of Poisson shot noise processes -- with applications to finance
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• On arbitrage and replication in the fractional Black–Scholes pricing model
• Stochastic analysis of fractional brownian motions
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic Differential Games in a Non-Markovian Setting
• Stock market prices and long-range dependence
• Stock price distributions with stochastic volatility: an analytic approach
• Tolerance to arbitrage

Cited in

(13)

• Arbitrage in fractional Brownian motion models
• Arbitrage with fractional Gaussian processes
• Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility
• On modifications of the Bachelier model
• Arbitrage in skew Brownian motion models
• Prediction and tracking of long-range-dependent sequences
• On the stickiness property
• LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA
• Asymptotic arbitrage in the Heston model
• On arbitrage and replication in the fractional Black–Scholes pricing model
• Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility
• Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion
• Multi-dimensional fractional Brownian motion in the G-setting

This page was built for publication: ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3023915)