LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA
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Publication:3149365
DOI10.1142/S0219493702000406zbMath1016.91053OpenAlexW2005784517MaRDI QIDQ3149365
Publication date: 5 August 2003
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219493702000406
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Related Items (10)
Kolmogorov equation and large-time behaviour for fractional Brownian motion driven linear SDE's. ⋮ Arbitrage and hedging in a non probabilistic framework ⋮ The covariation for Banach space valued processes and applications ⋮ On stochastic calculus related to financial assets without semimartingales ⋮ CEV model equipped with the long-memory ⋮ Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3 ⋮ Pricing by hedging and no-arbitrage beyond semimartingales ⋮ Stochastic differential equations with fractal noise ⋮ Forward integrals and SDE with fractal noise ⋮ Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics
Cites Work
- The Pricing of Options and Corporate Liabilities
- Integration with respect to fractal functions and stochastic calculus. I
- Robust option replication for a Black-Scholes model extended with nondeterministic trends
- Forward, backward and symmetric stochastic integration
- Mixed fractional Brownian motion
- The generalized covariation process and Itô formula
- Some small ball probabilities for Gaussian processes under nonuniform norms
- Integration with respect to Fractal Functions and Stochastic Calculus II
- Arbitrage with Fractional Brownian Motion
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