Simple arbitrage

DOI10.1214/11-AAP830zbMath1266.91092arXiv1210.5391MaRDI QIDQ691114

Christian Bender

Publication date: 29 November 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.5391

zbMATH Keywords

fractional Brownian motion; simple strategies; conditional full support; obvious arbitrage

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

60G44: Martingales with continuous parameter

91G10: Portfolio theory

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