Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics
From MaRDI portal
Publication:3426320
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
Related Items
Optimization of small deviation for mixed fractional Brownian motion with trend, Analysis of the Rosenblatt process, Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model, Approximation of fractional Brownian motion by martingales, A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion, Valuation of the vulnerable option price based on mixed fractional Brownian motion, On pricing and hedging in financial markets with long-range dependence, Distance from fractional Brownian motion with associated Hurst index \(0<H<1/2\) to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent, CEV model equipped with the long-memory, Pricing by hedging and no-arbitrage beyond semimartingales, The fractional and mixed-fractional CEV model, Asymptotic behavior of mixed power variations and statistical estimation in mixed models, A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval, Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent
Cites Work
- Integration with respect to fractal functions and stochastic calculus. I
- On fractional Brownian processes
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- The generalized covariation process and Itô formula
- A note on Wick products and the fractional Black-Scholes model
- Integration with respect to Fractal Functions and Stochastic Calculus II
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA
- Arbitrage with Fractional Brownian Motion
- A General Fractional White Noise Theory And Applications To Finance
- On arbitrage and replication in the fractional Black–Scholes pricing model
- The absence of arbitrage in a model with fractal Brownian motion