Publication:4848525

Nigel J. Cutland, P. Ekkehard Kopp, Walter Willinger

Publication date: 4 December 1995

fractional Brownian motion; Black-Scholes model; mathematical finance; efficient markets; arbitrage opportunities; long- range dependence

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G20: Derivative securities (option pricing, hedging, etc.)

60H05: Stochastic integrals

60F17: Functional limit theorems; invariance principles

62M07: Non-Markovian processes: hypothesis testing

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