Fractional Brownian motion has been suggested as a model for the movement of log share prices which would allow long-range dependence between returns on different days. While this is true, it also allows arbitrage opportunities, which we demonstrate both indirectly and by constructing such an arbitrage.
Abstract We construct arbitrage strategies for a financial market that consists of a money market account and a stock whose discounted price.
We construct arbitrage strategies for a financial market that consists of a money market account and a stock whose discounted price follows a fractional Br.
Models simultaneously driven by a Brownian motion and a fractional Brownian motion are treated in Section 5. Finally,. Section 6 summarizes our findings. 2.
We construct arbitrage strategies for a financial market that consists of a money market account and a stock whose discounted price follows a fractional ...
Fractional Brownian motion has been suggested as a model for the movement of log share prices which would allow long-range dependence between returns on ...
We construct arbitrage strategies for a financial market that consists of a money market account and a stock whose discounted price follows a fractional.
Oct 22, 2024 · Arbitrage with Fractional Brownian Motion? · 1. Introduction. Absence of arbitrage, i.e. the impossibility of receiving a riskless gain · 2. Self- ...
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The paper studies the existence of arbitrage strategies in models without a semi-martingale structure by starting with a trajectory space that is treated as ...
TL;DR: In this paper, a process similar to the fractional Brownian motion has been used to model long-range dependence of returns while avoiding arbitrage, ...