Arbitrage in fractional Brownian motion models
type: Item
instance of: scholarly article
title: Arbitrage in fractional Brownian motion models
zbMATH Open document ID: 1035.60036
author: Patrick Cheridito
published in: Finance and Stochastics
publication date: 2004-03-16T00:00:00Z
review text: The author considers a financial market on a compact interval where money can be invested in a money market account and a stock whose discounted price follows a fractional Brownian motion with drift or an exponential fractional Brownian motion with drift. Different notions of arbitrage are given and trading strategies are specified. Then arbitrage strategies consisting of combinations of buy and hold strategies are constructed. At last, it is shown that arbitrage can be excluded from models by introducing a minimal amount of time that must lie between two consecutive transactions.
Mathematics Subject Classification ID: 60G15
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 60K30
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 2059116
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: arbitrage
zbMATH Keywords: strong arbitrage
zbMATH Keywords: exclusion of arbitrage
reviewed by: Yuliya S. Mishura
MaRDI profile type: Publication
full work available at URL: s007800300101
OpenAlex ID: W1995666097
DOI: 10.1007/S007800300101
Recommended article: Arbitrage with Fractional Brownian Motion
Recommended article: Arbitrage in skew Brownian motion models
Recommended article: Q4802414
Recommended article: The absence of arbitrage in a model with fractal Brownian motion
Recommended article: Arbitrage with fractional Gaussian processes
Recommended article: Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics
Recommended article: On arbitrage and replication in the fractional Black–Scholes pricing model
Recommended article: ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
Recommended article: Q2741102
description: scientific article; zbMATH DE number 2059116