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Arbitrage in fractional Brownian motion models
8 references·16 citing·29 second hop
Arbitrage in fractional Brownian motion models (2003)Arbitrage in fractional Brownian motion m…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Mixed Fractional Brownian Motion (2001)Mixed Fractional Brownian Mot…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Arbitrage with Fractional Brownian Motion (1997)Arbitrage with Fractional Bro…G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance (1996)G.Samorodnitsky,M.S.Taqqu:Sta…Theory of Martingales (1989)Theory of MartingalesMartingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Asymptotic Behavior of the Fractional Heston Model (2018)Asymptotic Behavior of the Fr…Visibility Graph Based Time Series Analysis (2015)Visibility Graph Based Time S…Pricing geometric Asian power options under mixed fractional Brownian motion environment (2015)Pricing geometric Asian power…Pricing currency options in the mixed fractional Brownian motion (2013)Pricing currency options in t…A note on the use of fractional Brownian motion for financial modeling (2012)A note on the use of fraction…Estimation and pricing under long-memory stochastic volatility (2010)Estimation and pricing under …The fundamental theorem of asset pricing for continuous processes under small transaction costs (2008)The fundamental theorem of as…Pricing by hedging and no-arbitrage beyond semimartingales (2008)Pricing by hedging and no-arb…Consistent price systems and face-lifting pricing under transaction costs (2008)Consistent price systems and …An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion (2007)An Introduction to (Stochasti…Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence (2006)Pricing Options in an Extende…NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (2006)NO ARBITRAGE UNDER TRANSACTIO…Long range dependence in financial markets (2005)Long range dependence in fina…A note on Wick products and the fractional Black-Scholes model (2005)A note on Wick products and t…Fractional Brownian motion as a weak limit of Poisson shot noise processes—with applications to finance (2004)Fractional Brownian motion as…ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS (2004)ESTIMATING THE FRACTAL DIMENS…Stochastic Differential Equations and Diffusion Processes (1983)The Distribution of Exchange Rate Volatility (1999)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Fractional Brownian Motions, Fractional Noises and Applications (1968)The Pricing of Options and Corporate Liabilities (1973)On bifractional Brownian motion (2005)Some properties of the sub-fractional Brownian motion (2006)Fractals and Scaling in Finance (1997)FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)A comment on measuring the Hurst exponent of financial time series (2004)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of rational option pricing (2005)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)Brownian Motion and Stochastic Calculus (1998)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)Pricing contingent claims on stocks driven by Lévy processes (1999)A critical look at Lo's modified R/S statistic (1999)Regular variation of GARCH processes (2002)Evidence for self-organized criticality in electric power system blackouts (2005)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1989Theory of Martingales956 cited
  • 1997Arbitrage with Fractional Brownian Motion590 cited
  • 1996G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance559 cited
  • 2001Mixed Fractional Brownian Motion387 cited

Cited by

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  • 2006Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence182 cited
  • 2008Consistent price systems and face-lifting pricing under transaction costs137 cited
  • 2005Long range dependence in financial markets131 cited
  • 2008The fundamental theorem of asset pricing for continuous processes under small transaction costs123 cited
  • 2015Visibility Graph Based Time Series Analysis

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113 cited
  • 2010Estimation and pricing under long-memory stochastic volatility109 cited
  • 2012A note on the use of fractional Brownian motion for financial modeling106 cited
  • 2008Pricing by hedging and no-arbitrage beyond semimartingales94 cited
  • 2004ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS76 cited
  • 2004Fractional Brownian motion as a weak limit of Poisson shot noise processes—with applications to finance74 cited
  • 2013Pricing currency options in the mixed fractional Brownian motion74 cited
  • 2015Pricing geometric Asian power options under mixed fractional Brownian motion environment68 cited
  • 2007An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion65 cited
  • 2018Asymptotic Behavior of the Fractional Heston Model63 cited