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

zbMATH Keywords

fractional Brownian motionvolatility(B,S) market

Mathematics Subject Classification ID

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(7)

• A Characterization of Complete Security Markets On A Brownian Filtration¹
• Stochastic stability of fractional \((B,S)\)-securities markets
• scientific article; zbMATH DE number 5637982 (Why is no real title available?)
• Conditions of presence and absence of arbitrage for a model of \((B,S)\)-market defined by fractional Brownian motion
• The generalization of the quantile hedging problem for a price process model involving a finite number of Brownian and fractional Brownian motions
• No-arbitrage, leverage and completeness in a fractional volatility model
• Q-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market

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