NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
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- Stochastic Burgers equations with fractional derivative driven by fractional noise
- Conditional full support for fractional Brownian motion
- Maximum likelihood estimators of a long-memory process from discrete observations
- Absence of arbitrage in a general framework
- Pricing by hedging and no-arbitrage beyond semimartingales
- Approximation of stationary solutions to SDEs driven by multiplicative fractional noise
- Rate of convergence of Euler approximation of time-dependent mixed SDEs driven by Brownian motions and fractional Brownian motions
- Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
- Remarks on simple arbitrage on markets with bid and ask prices
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- Shadow prices for continuous processes
- Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets
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- Arbitrage-free models in markets with transaction costs
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- Integrability and tail estimates for Gaussian rough differential equations
- Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost
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