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Arbitrage with fractional Brownian motion
14 references·2 citing·37 second hop
Arbitrage with fractional Brownian motion (2007)Arbitrage with fractional Brownian motionA General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (2006)NO ARBITRAGE UNDER TRANSACTIO…A note on Wick products and the fractional Black-Scholes model (2005)A note on Wick products and t…On arbitrage and replication in the fractional Black–Scholes pricing model (2003)On arbitrage and replication …FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)FRACTIONAL WHITE NOISE CALCUL…Arbitrage in fractional Brownian motion models (2003)Arbitrage in fractional Brown…A General Fractional White Noise Theory And Applications To Finance (2003)A General Fractional White No…Mixed Fractional Brownian Motion (2001)Mixed Fractional Brownian Mot…Fractional Brownian motion, random walks and binary market models (2001)Fractional Brownian motion, r…Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic Calculus for Fract…Arbitrage with Fractional Brownian Motion (1997)Arbitrage with Fractional Bro…Stochastic analysis of fractional brownian motions (1995)Stochastic analysis of fracti…Forward, backward and symmetric stochastic integration (1993)Forward, backward and symmetr…Calcul d'ito sans probabilites (1981)Calcul d'ito sans probabilitesPricing geometric Asian rainbow options under the mixed fractional Brownian motion (2020)Pricing geometric Asian rainb…Bipower Variation for Gaussian Processes with Stationary Increments (2009)Bipower Variation for Gaussia…Convergence en loi des suites d'intégrales stochastiques sur l'espace $$\mathbb{D}$$ 1 de Skorokhod (1989)Un Cours sur les Intégrales Stochastiques (2002)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Functional Itô calculus and stochastic integral representation of martingales (2013)Stochastic Differential Equations and Diffusion Processes (1983)The Distribution of Exchange Rate Volatility (1999)Calcul Stochastique et Problèmes de Martingales (1979)Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Brownian Motion (1999)Stochastic integration with respect to fractional brownian motion (2003)Stochastic integration with respect to the fractional Brownian motion (2003)Analysis of the Rosenblatt process (2008)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Integration and Differential Equations (2005)Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence (2006)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)A comment on measuring the Hurst exponent of financial time series (2004)A note on the use of fractional Brownian motion for financial modeling (2012)Multiple Wiener Integral (1951)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Stochastic Analysis of the Fractional Brownian Motion (1999)On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion (2003)An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion (2004)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)The Random Character of Stock Market Prices (1968)The variation of certain speculative prices (1997)Integration questions related to fractional Brownian motion (2000)Stochastic Calculus with Respect to Gaussian Processes (2001)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)
this work references cited by second hop

References

  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1997Arbitrage with Fractional Brownian Motion590 cited
  • 2000Stochastic Calculus for Fractional Brownian Motion I. Theory571 cited
  • 2003FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE476 cited
  • 2001Mixed Fractional Brownian Motion387 cited
  • 2003Arbitrage in fractional Brownian motion models332 cited
  • 1993Forward, backward and symmetric stochastic integration318 cited
  • 2003A General Fractional White Noise Theory And Applications To Finance301 cited
  • 1981Calcul d'ito sans probabilites247 cited
  • 2005A note on Wick products and the fractional Black-Scholes model207 cited
  • 1995Stochastic analysis of fractional brownian motions207 cited
  • 2001Fractional Brownian motion, random walks and binary market models188 cited
  • 2006NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND183 cited
  • 2003On arbitrage and replication in the fractional Black–Scholes pricing model71 cited

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  • 2009Bipower Variation for Gaussian Processes with Stationary Increments33 cited

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  • 2020Pricing geometric Asian rainbow options under the mixed fractional Brownian motion27 cited