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

stochastic volatilitystochastic integrationarbitrageFractional Brownian motionfractal market models

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(11)

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

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