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Trudy Matematicheskogo Instituta imeni V.A. Steklova, 2002, Volume 237, Pages 224–233
(Mi tm334)
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This article is cited in 11 scientific papers (total in 11 papers)
The Absence of Arbitrage in a Mixed Brownian–Fractional Brownian Model
Yu. S. Mishuraa, E. Valkeilab a National Taras Shevchenko University of Kyiv
b University of Helsinki
Abstract:
A mixed version of the Black–Merton–Scholes model is considered, i.e. a market with a bond and a stock such that the stock is controlled by a linear combination of a Wiener process and a fractional Brownian motion. It is proved that such a market is arbitrage-free. As an auxiliary result, a representation of a fractional Brownian motion is obtained in terms of the “basic” Gaussian martingale with independent increments.
Received in May 1999
Citation:
Yu. S. Mishura, E. Valkeila, “The Absence of Arbitrage in a Mixed Brownian–Fractional Brownian Model”, Stochastic financial mathematics, Collected papers, Trudy Mat. Inst. Steklova, 237, Nauka, MAIK «Nauka/Inteperiodika», M., 2002, 224–233; Proc. Steklov Inst. Math., 237 (2002), 215–224
Linking options:
https://www.mathnet.ru/eng/tm334 https://www.mathnet.ru/eng/tm/v237/p224
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Abstract page: | 626 | Full-text PDF : | 231 | References: | 58 |
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