Arbitrage with fractional brownian motion?
Vernadsky National Library of Ukraine
Переглянути архів Інформація| Поле | Співвідношення | |
| Title |
Arbitrage with fractional brownian motion?
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| Creator |
Bender, C.
Sottinen, T. Valkeila, E. |
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| 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. |
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| Date |
2009-11-19T10:06:36Z
2009-11-19T10:06:36Z 2007 |
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| Type |
Article
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| Identifier |
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 |
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| Language |
en
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| Publisher |
Інститут математики НАН України
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