Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market

DOI10.1287/moor.1040.0096zbMath1082.91045OpenAlexW1970058257MaRDI QIDQ5704206

Robert J. Elliott, Christian Bender

Publication date: 11 November 2005

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.1040.0096

zbMATH Keywords

fractional Brownian motionarbitragebinary market modelsdiscrete Wick products

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (6)

Arbitrage with fractional Gaussian processes ⋮ Pricing currency options in the mixed fractional Brownian motion ⋮ Pricing of perpetual American put option with sub-mixed fractional Brownian motion ⋮ Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus ⋮ A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion ⋮ Unnamed Item

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