CRITICAL TRANSACTION COSTS AND 1-STEP ASYMPTOTIC ARBITRAGE IN FRACTIONAL BINARY MARKETS

DOI10.1142/S0219024915500296zbMath1337.91159arXiv1407.8068MaRDI QIDQ2947342

Lavinia Perez-Ostafe, Fernando Cordero

Publication date: 22 September 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.8068

zbMATH Keywords

fractional Brownian motiontransaction costsarbitragefractional binary markets

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

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Cites Work

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