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ArticleArbitrage in fractional Brownian motion models

Patrick Cheridito2003

Article2003

Arbitrage in fractional Brownian motion models

Patrick Cheridito

332 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1999Continuous Martingales and Brownian Motion 2005Stochastic Integration and Differential Equations 1981Martingales and stochastic integrals in the theory of continuous trading 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1989Theory of Martingales 1997Arbitrage with Fractional Brownian Motion 1996G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance 2001Mixed Fractional Brownian Motion

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2005A note on Wick products and the fractional Black-Scholes model 2006NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND 2006Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence 2008Consistent price systems and face-lifting pricing under transaction costs 2005Long range dependence in financial markets 2008The fundamental theorem of asset pricing for continuous processes under small transaction costs

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Year2003

Typearticle

Published2003-10-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations332

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s007800300101

openalex_workW1995666097

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