Arbitrage with Fractional Brownian Motion
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Publication:4372054
DOI10.1111/1467-9965.00025zbMath0884.90045MaRDI QIDQ4372054
Publication date: 5 April 1998
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00025
fractional Brownian motion; Brownian motion; equivalent martingale measure; long-range dependence; arbitrage
60G22: Fractional processes, including fractional Brownian motion
91B62: Economic growth models
60G35: Signal detection and filtering (aspects of stochastic processes)
91G80: Financial applications of other theories
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