ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
From MaRDI portal
Publication:3023915
DOI10.1142/S0219024905003037zbMath1152.91482OpenAlexW2053292637MaRDI QIDQ3023915
Erhan Bayraktar, H. Vincent Poor
Publication date: 6 July 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024905003037
Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
Related Items (3)
Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility ⋮ Prediction and tracking of long-range-dependent sequences ⋮ On the stickiness property
Cites Work
- Unnamed Item
- Stock market prices and long-range dependence
- A critical look at Lo's modified \(R/S\) statistic.
- A general version of the fundamental theorem of asset pricing
- Arbitrage in fractional Brownian motion models
- Tolerance to arbitrage
- Fractional Brownian motion as a weak limit of Poisson shot noise processes -- with applications to finance
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- Stochastic analysis of fractional brownian motions
- A Microeconomic Approach to Diffusion Models For Stock Prices
- Arbitrage with Fractional Brownian Motion
- On arbitrage and replication in the fractional Black–Scholes pricing model
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Stochastic Differential Games in a Non-Markovian Setting
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
This page was built for publication: ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
