SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Arbitrage Opportunities for a Class of Gladyshev Processes · Study

ArticleShelves

ArticleArbitrage Opportunities for a Class of Gladyshev Processes

G. Kallianpur2000

Article2000

Arbitrage Opportunities for a Class of Gladyshev Processes

38 citations·0/0 files stored·Applied Mathematics & Optimization

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 38 citations exist upstream.

References

1968Fractional Brownian Motions, Fractional Noises and Applications 1989Theory of Martingales 1997Arbitrage with Fractional Brownian Motion 1995Stochastic analysis of fractional brownian motions 1996Lectures on the Mathematics of Finance 1995Stock Price Returns and the Joseph Effect: A Fractional Version of the Black-Scholes Model 1995A Necessary and Sufficient Condition for Absence of Arbitrage with Tame Portfolios

Cited by

2004Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market 2013The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate 2016Arbitrage with fractional Gaussian processes

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2001Regularizing fractional Brownian motion with a view towards stock price modellingthesis · 5 shared references 2005Financial Markets with Memory I: Dynamic Modelsarticle · 4 shared references 2003Gaussian moving averages, semimartingales and option pricingarticle · 4 shared references 1998Robust option replication for a Black‐Scholes model extended with nondeterministic trendsarticle · 4 shared references 2001Mixed Fractional Brownian Motionarticle · 3 shared references 2005Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter H∈(0,12)article · 3 shared references

Details

Year2000

Typearticle

Published2000-05-06

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations38

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/s002459911019

openalex_workW2050131490

Links

Imported from OpenAlex (CC0) — nothing here is generated.