NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND

DOI10.1111/j.1467-9965.2006.00283.xzbMath1133.91421OpenAlexW2103254903MaRDI QIDQ5455263

Publication date: 3 April 2008

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00283.x

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Continuous-time Markov processes on general state spaces (60J25) Financial applications of other theories (91G80)

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