Absence of arbitrage in a general framework
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Publication:470679
DOI10.1007/s10436-012-0207-0zbMath1298.91088OpenAlexW2039486957MaRDI QIDQ470679
Publication date: 12 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-012-0207-0
Fractional processes, including fractional Brownian motion (60G22) Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Actuarial science and mathematical finance (91G99)
Related Items (2)
No-arbitrage conditions and pricing from discrete-time to continuous-time strategies ⋮ No arbitrage and lead-lag relationships
Cites Work
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- Arbitrage-free models in markets with transaction costs
- Consistent price systems in multiasset markets
- No arbitrage conditions for simple trading strategies
- The fundamental theorem of asset pricing for continuous processes under small transaction costs
- Simple arbitrage
- Brownian moving averages have conditional full support
- No arbitrage without semimartingales
- Stock market prices and long-range dependence
- A general version of the fundamental theorem of asset pricing
- Arbitrage in fractional Brownian motion models
- Pricing by hedging and no-arbitrage beyond semimartingales
- Consistent price systems and face-lifting pricing under transaction costs
- Conditional Full Support of Gaussian Processes with Stationary Increments
- Long-Term Memory in Stock Market Prices
- Arbitrage with Fractional Brownian Motion
- Equivalent martingale measures and no-arbitrage
- Stochastic Integrals and Conditional Full Support
- Fractional Processes as Models in Stochastic Finance
- NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
- Fractional Brownian motion, random walks and binary market models
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