Tolerance to arbitrage

DOI10.1016/S0304-4149(98)00025-8MaRDI QIDQ1805785zbMATH OpenOpenAlexWikidataFDO

Authors Donna Mary Salopek

Publication date 18 November 1999

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4149(98)00025-8

zbMATH Keywords

fractional Brownian motionarbitrage\(p\)-variationsecurity market model

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Sample path properties (60G17)

Recommendations

• Arbitrage in fractional Brownian motion models
• Conditions of presence and absence of arbitrage for a model of \((B,S)\)-market defined by fractional Brownian motion
• No arbitrage without semimartingales
• scientific article; zbMATH DE number 5220411

Cites work

• scientific article; zbMATH DE number 3911357 (Why is no real title available?)
• scientific article; zbMATH DE number 3710458 (Why is no real title available?)
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 797365 (Why is no real title available?)
• scientific article; zbMATH DE number 3413604 (Why is no real title available?)
• An inequality of the Hölder type, connected with Stieltjes integration
• Arbitrage with Fractional Brownian Motion
• Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
• Martingales and stochastic integrals in the theory of continuous trading
• Sample functions of the Gaussian process

Cited in

(27)

• Quantile hedging in the complete financial market under the mixed fractional Brownian motion model and the liquidity constraint
• Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
• A new class of nearly self-financing strategies
• No-arbitrage, leverage and completeness in a fractional volatility model
• On arbitrage and Markovian short rates in fractional bond markets
• ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
• Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with \(w\) sources of risk in fuzzy environment
• A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1)
• Trading fractional Brownian motion
• A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds
• High-frequency trading with fractional Brownian motion
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• From market data to agent-based models and stochastic differential equations
• On the fractional stochastic integration for random non-smooth integrands
• Stochastic volatility and multifractional Brownian motion
• Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost
• Gaussian moving averages, semimartingales and option pricing.
• Consistent price systems and face-lifting pricing under transaction costs
• Model-free CPPI
• A closed-form approximation for the fractional Black-Scholes model with transaction costs
• On stochastic calculus related to financial assets without semimartingales
• Stochastic volatility and fractional Brownian motion
• Modelling NASDAQ series by sparse multifractional Brownian motion
• On pricing and hedging in financial markets with long-range dependence
• Arbitrage without borrowing or short selling?
• Rough paths in idealized financial markets
• On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions

This page was built for publication: Tolerance to arbitrage

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1805785)