Tolerance to arbitrage
type: Item
instance of: scholarly article
title: Tolerance to arbitrage
zbMATH Open document ID: 0934.91022
DOI: 10.1016/S0304-4149(98)00025-8
published in: Stochastic Processes and their Applications
publication date: 1999-11-18T00:00:00Z
review text: The author studies models of a frictionless security market where the prices are continuous processes of bounded \(p\)-variation, \(p\in [1,2)\). Specifically, ``volatility terms'' of the price processes are fractional Brownian motions with index \(1/2<H<1\), \(1/H<p\). An explicit arbitrage trading strategy is constructed for such a market, based on Hardy's inequalities for \(\alpha \)-order power means of the prices. The result is an extension of the already known fact that price processes of bounded variation (\(p=1\)) admit arbitrage.
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 60G17
Mathematics Subject Classification ID: 60G35
zbMATH DE Number: 1364494
zbMATH Keywords: security market model
zbMATH Keywords: arbitrage
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: \(p\)-variation
author: Donna Mary Salopek
reviewed by: Alexis Derviz
MaRDI profile type: Publication
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full work available at URL: s0304-4149(98)00025-8
OpenAlex ID: W2169672610
Wikidata QID: Q127884297
description: scientific article; zbMATH DE number 1364494