Investigation of a (B, S) market of security with stochastic volatility driven by fractional Brownian motion

zbMATH Open1089.91503MaRDI QIDQ5467766FDOQ5467766

Authors: S. V. Posashkov 

Publication date: 24 May 2006

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zbMATH Keywords

fractional Brownian motionvolatility(B,S) market

Mathematics Subject Classification ID

Cited In (7)

• A Characterization of Complete Security Markets On A Brownian Filtration¹
• No-arbitrage, leverage and completeness in a fractional volatility model
• Title not available (Why is that?)
• Q-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market
• Conditions of presence and absence of arbitrage for a model of \((B,S)\)-market defined by fractional Brownian motion
• Stochastic stability of fractional \((B,S)\)-securities markets
• The generalization of the quantile hedging problem for a price process model involving a finite number of Brownian and fractional Brownian motions

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