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

DOI10.1524/stnd.21.2.93.19003zbMath1041.60055OpenAlexW2052558712MaRDI QIDQ4459750

Esko Valkeila, Tommi Sottinen

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

fractional Brownian motionMalliavin calculusoption pricingstochastic integrationarbitragereplicationpathwise stochastic integrationfractional Black-Scholes model

Mathematics Subject Classification ID

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

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