The absence of arbitrage in a model with fractal Brownian motion
From MaRDI portal
Publication:4509533
DOI10.1070/rm1999v054n04ABEH000191zbMath0992.91044MaRDI QIDQ4509533
Publication date: 12 September 2002
Published in: Russian Mathematical Surveys (Search for Journal in Brave)
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (12)
Pricing geometric Asian power options under mixed fractional Brownian motion environment ⋮ How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost ⋮ Mixtures of higher-order fractional Brownian motions ⋮ OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS ⋮ Fractional processes and their statistical inference: an overview ⋮ On the Gaussian Volterra processes with power-type kernels ⋮ Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion ⋮ CEV model equipped with the long-memory ⋮ Pricing european option under the time-changed mixed Brownian-fractional Brownian model ⋮ PRICING DERIVATIVES IN HERMITE MARKETS ⋮ The Absence of Arbitrage Property in Mixed Fractional Bownian Motion Setting ⋮ Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics
This page was built for publication: The absence of arbitrage in a model with fractal Brownian motion
