scientific article; zbMATH DE number 7451129

zbMath1481.91225MaRDI QIDQ5019097

Alexander Alvarez

Publication date: 29 December 2021

Full work available at URL: https://rev-inv-ope.pantheonsorbonne.fr/sites/default/files/inline-files/42221-01.pdf

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

fractional Brownian motionEpps effectpayoff replication

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Financial applications of other theories (91G80)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimating covariation: Epps effect, microstructure noise
• No arbitrage without semimartingales
• Dynamic spanning without probabilities
• A general version of the fundamental theorem of asset pricing
• Mixed fractional Brownian motion
• Optimal investment with transaction costs and without semimartingales
• Arbitrage and hedging in a non probabilistic framework
• Model-free CPPI
• Pricing by hedging and no-arbitrage beyond semimartingales
• Pathwise no-arbitrage in a class of delta hedging strategies
• A note on Wick products and the fractional Black-Scholes model
• TRAJECTORY-BASED MODELS, ARBITRAGE AND CONTINUITY
• The Epps effect revisited
• Pricing and Hedging Spread Options
• Identification of the Multivariate Fractional Brownian Motion
• A closed-form formula characterization of the Epps effect

This page was built for publication: