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

DOI10.1524/STND.21.2.93.19003MaRDI QIDQ4459750zbMATHOpenAlexFDO

Authors Tommi Sottinen, Esko Valkeila

Publication date 18 May 2004

Published in Statistics & Decisions (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1524/stnd.21.2.93.19003

zbMATH Keywords

Malliavin calculusoption pricingfractional Brownian motionreplicationstochastic integrationarbitragepathwise stochastic integrationfractional Black-Scholes model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(26)

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• Weak and strong discrete-time approximation of fractional SDEs
• Moderate deviation principle for multiscale systems driven by fractional Brownian motion
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• On arbitrage and Markovian short rates in fractional bond markets
• LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA
• Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model
• ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
• A small noise asymptotic expansion for Young SDE driven by fractional Brownian motion: a sharp error estimate with Malliavin calculus
• Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets
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• Pathwise integrals and Itô-Tanaka formula for Gaussian processes
• ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
• Arbitrage without borrowing or short selling?
• Arbitrage in fractional Brownian motion models
• Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
• A note on Wick products and the fractional Black-Scholes model
• scientific article; zbMATH DE number 797365 (Why is no real title available?)
• Options with underlying asset driven by a fractional Brownian motion: crossing barriers estimates
• The valuation of European option under subdiffusive fractional Brownian motion of the short rate
• Some long-range dependence processes arising from fluctuations of particle systems
• PRICING DERIVATIVES IN HERMITE MARKETS
• Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics
• APIK: Active Physics-Informed Kriging Model with Partial Differential Equations
• Generating sample paths and their convergence of the geometric fractional Brownian motion
• The fractional and mixed-fractional CEV model

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