scientific article; zbMATH DE number 797365
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Publication:4848525
arbitrage opportunitiesBlack-Scholes modelefficient marketsfractional Brownian motionlong- range dependencemathematical finance
Functional limit theorems; invariance principles (60F17) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Non-Markovian processes: hypothesis testing (62M07) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cited in
(38)- Possible long-range dependence in fractional random fields.
- A critical look at Lo's modified \(R/S\) statistic.
- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
- A higher-order interactive hidden Markov model and its applications
- Option pricing of a mixed fractional-fractional version of the Black-Scholes model
- Variational solutions for a class of fractional stochastic partial differential equations
- Some long-range dependence processes arising from fluctuations of particle systems
- Approximation schemes associated to a differential equation governed by a Hölderian function; the case of fractional Brownian motion.
- Fractional Black-Scholes model and technical analysis of stock price
- Tolerance to arbitrage
- Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
- Local and implied volatilities with the mixed-modified-fractional-Dupire model
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- Asymptotics for discrete time hedging errors under fractional Black-Scholes models
- Consistent price systems and face-lifting pricing under transaction costs
- Correcting Newton-Côtes integrals by Lévy areas
- Gaussian moving averages, semimartingales and option pricing.
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- LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA
- Bipower Variation for Gaussian Processes with Stationary Increments
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- Modelling NASDAQ series by sparse multifractional Brownian motion
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- Financial modelling with multivariate mixed fractional Brownian motion
- Asymptotic analysis for hedging errors in models with respect to geometric fractional Brownian motion
- Solving parametric fractional differential equations arising from the rough Heston model using quasi-linearization and spectral collocation
- The fractional mixed fractional brownian motion and fractional brownian sheet
- Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets
- Modelling of stock price changes: a real analysis approach
- Fourier approach to goodness-of-fit tests for Gaussian random processes
- Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion
- A note on optimal liquidation with linear price impact
- Estimation in models driven by fractional Brownian motion
- Variational solutions for partial differential equations driven by a fractional noise
- Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift
- On the mixed fractional Brownian motion
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