Arbitrage with fractional brownian motion?

• Дата: 2007
• Автори: Bender, C., Sottinen, T., Valkeila, E.
• Формат: Стаття
• Мова: English
• Опубліковано: Інститут математики НАН України 2007
• Онлайн доступ: http://dspace.nbuv.gov.ua/handle/123456789/4474
• 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.

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 (...