On arbitrage and replication in the fractional Black–Scholes pricing model
DOI10.1524/STND.21.2.93.19003zbMATH Open1041.60055OpenAlexW2052558712MaRDI QIDQ4459750FDOQ4459750
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
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Malliavin calculusoption pricingfractional Brownian motionreplicationstochastic integrationarbitragepathwise stochastic integrationfractional Black-Scholes model
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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- ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
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- LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA
- Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics
- Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
- OPTIONS WITH UNDERLYING ASSET DRIVEN BY A FRACTIONAL BROWNIAN MOTION: CROSSING BARRIERS ESTIMATES
- Weak and strong discrete-time approximation of fractional SDEs
- PRICING DERIVATIVES IN HERMITE MARKETS
- Pathwise integrals and Itô-Tanaka formula for Gaussian processes
- Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs
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- THE VALUATION OF EUROPEAN OPTION UNDER SUBDIFFUSIVE FRACTIONAL BROWNIAN MOTION OF THE SHORT RATE
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- A Small Noise Asymptotic Expansion for Young SDE Driven by Fractional Brownian Motion: A Sharp Error Estimate With Malliavin Calculus
- APIK: Active Physics-Informed Kriging Model with Partial Differential Equations
- Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model
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