ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
DOI10.1142/S0219024905003037zbMATH Open1152.91482OpenAlexW2053292637MaRDI QIDQ3023915FDOQ3023915
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
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Cites Work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A general version of the fundamental theorem of asset pricing
- Arbitrage in fractional Brownian motion models
- Arbitrage with Fractional Brownian Motion
- Title not available (Why is that?)
- Stochastic Differential Games in a Non-Markovian Setting
- Stock price distributions with stochastic volatility: an analytic approach
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- Stock market prices and long-range dependence
- On arbitrage and replication in the fractional Black–Scholes pricing model
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Stochastic analysis of fractional brownian motions
- Fractional Brownian motion as a weak limit of Poisson shot noise processes -- with applications to finance
- A Microeconomic Approach to Diffusion Models For Stock Prices
- Tolerance to arbitrage
- A critical look at Lo's modified \(R/S\) statistic.
Cited In (11)
- Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility
- On arbitrage and replication in the fractional Black–Scholes pricing model
- Arbitrage in fractional Brownian motion models
- LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA
- Arbitrage with fractional Gaussian processes
- Asymptotic arbitrage in the Heston model
- 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
- Prediction and tracking of long-range-dependent sequences
- Arbitrage in skew Brownian motion models
- On the stickiness property
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