Arbitrage with fractional brownian motion?
In recent years fractional Brownian motion has been suggested to replace the classical Brownian motion as driving process in the modelling of many real world phenomena, including stock price modelling. In several papers seemingly contradictory results on the existence or absence of a riskless gain (...
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| Дата: | 2007 |
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| Автори: | , , |
| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
Інститут математики НАН України
2007
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| Онлайн доступ: | http://dspace.nbuv.gov.ua/handle/123456789/4474 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Цитувати: | Arbitrage with fractional brownian motion? / C. Bender, T. Sottinen, E. Valkeila // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 23-34. — Бібліогр.: 26 назв.— англ. |
Репозитарії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| Резюме: | In recent years fractional Brownian motion has been suggested to replace the classical Brownian motion as driving process in the modelling of many real world phenomena, including stock price modelling. In several papers seemingly contradictory results on the existence or absence of a riskless gain (arbitrage) in such stock models have been
stated. This survey tries to clarify this issue by pointing to the importance of the chosen class of admissible trading strategies. |
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