Stochastic integrals driven by fractional Brownian motion and arbitrage: a tale of two integrals

DOI10.1080/14697680802626315zbMATH Open1179.60032OpenAlexW1978488233MaRDI QIDQ3645196FDOQ3645196

Authors: Ngai Hang Chan, Chi Tim Ng 

Publication date: 16 November 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680802626315

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zbMATH Keywords

option pricingfractional Brownian motionarbitrage pricingstochastic differential equations

Mathematics Subject Classification ID

Gaussian processes (60G15) Portfolio theory (91G10) Stochastic integrals (60H05)

Cites Work

• The Malliavin Calculus and Related Topics
• Fractional Brownian Motions, Fractional Noises and Applications
• Arbitrage Theory in Continuous Time
• A general version of the fundamental theorem of asset pricing
• Arbitrage with Fractional Brownian Motion
• Stochastic calculus with respect to Gaussian processes
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• A note on Wick products and the fractional Black-Scholes model
• A General Fractional White Noise Theory And Applications To Finance
• An \(S\)-transform approach to integration with respect to a fractional Brownian motion
• REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
• Arbitrage opportunities for a class of Gladyshev processes

Cited In (1)

• On arbitrage and replication in the fractional Black–Scholes pricing model

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