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Arbitrage with Fractional Brownian Motion - MaRDI portal

Arbitrage with Fractional Brownian Motion (Q4372054)

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scientific article; zbMATH DE number 1106737
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English
Arbitrage with Fractional Brownian Motion
scientific article; zbMATH DE number 1106737

    Statements

    title
    Arbitrage with Fractional Brownian Motion (English)
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    author
    L. C. G. Rogers
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    publication date
    5 April 1998
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    zbMATH Keywords
    fractional Brownian motion
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    Brownian motion
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    arbitrage
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    long-range dependence
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    equivalent martingale measure
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    Identifiers

    Mathematics Subject Classification ID
    91G80
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    60G22
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    60G35
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    91B62
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    zbMATH DE Number
    1106737
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    OpenAlex ID
    W1978094758
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