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. |
Репозиторії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| id |
irk-123456789-4474 |
|---|---|
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dspace |
| spelling |
irk-123456789-44742009-11-20T12:00:55Z Arbitrage with fractional brownian motion? Bender, C. Sottinen, T. Valkeila, E. 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. 2007 Article 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. 0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4474 en Інститут математики НАН України |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| language |
English |
| description |
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. |
| format |
Article |
| author |
Bender, C. Sottinen, T. Valkeila, E. |
| spellingShingle |
Bender, C. Sottinen, T. Valkeila, E. Arbitrage with fractional brownian motion? |
| author_facet |
Bender, C. Sottinen, T. Valkeila, E. |
| author_sort |
Bender, C. |
| title |
Arbitrage with fractional brownian motion? |
| title_short |
Arbitrage with fractional brownian motion? |
| title_full |
Arbitrage with fractional brownian motion? |
| title_fullStr |
Arbitrage with fractional brownian motion? |
| title_full_unstemmed |
Arbitrage with fractional brownian motion? |
| title_sort |
arbitrage with fractional brownian motion? |
| publisher |
Інститут математики НАН України |
| publishDate |
2007 |
| url |
http://dspace.nbuv.gov.ua/handle/123456789/4474 |
| citation_txt |
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. |
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2023-03-24T08:30:18Z |
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2023-03-24T08:30:18Z |
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