Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics

DOI10.1080/17442500600859317zbMath1115.60043MaRDI QIDQ3426320

Taras O. Androshchuk, Yuliya S. Mishura

Publication date: 8 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500600859317

zbMATH Keywords

fractional Brownian motion; absence of arbitrage; Black-Merton-Scholes model

Mathematics Subject Classification ID

60G15: Gaussian processes

60H05: Stochastic integrals

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