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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| Date: | 2007 |
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| Main Authors: | , , |
| Format: | Article |
| Language: | English |
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Інститут математики НАН України
2007
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| Online Access: | https://nasplib.isofts.kiev.ua/handle/123456789/4474 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | 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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Digital Library of Periodicals of National Academy of Sciences of Ukraine| id |
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Bender, C. Sottinen, T. Valkeila, E. 2009-11-19T10:06:36Z 2009-11-19T10:06:36Z 2007 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 https://nasplib.isofts.kiev.ua/handle/123456789/4474 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. en Інститут математики НАН України Arbitrage with fractional brownian motion? Article published earlier |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
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DSpace DC |
| title |
Arbitrage with fractional brownian motion? |
| spellingShingle |
Arbitrage with fractional brownian motion? Bender, C. Sottinen, T. Valkeila, E. |
| 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? |
| author |
Bender, C. Sottinen, T. Valkeila, E. |
| author_facet |
Bender, C. Sottinen, T. Valkeila, E. |
| publishDate |
2007 |
| language |
English |
| publisher |
Інститут математики НАН України |
| format |
Article |
| 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.
|
| issn |
0321-3900 |
| url |
https://nasplib.isofts.kiev.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. |
| work_keys_str_mv |
AT benderc arbitragewithfractionalbrownianmotion AT sottinent arbitragewithfractionalbrownianmotion AT valkeilae arbitragewithfractionalbrownianmotion |
| first_indexed |
2025-12-07T19:13:28Z |
| last_indexed |
2025-12-07T19:13:28Z |
| _version_ |
1850877996638928896 |