Please use this identifier to cite or link to this item:
|Scopus||Web of Science®||Altmetric|
|Title:||Arbitrage in a discrete version of the Wick-Fractional Black Scholes model|
|Citation:||Mathematics of Operations Research, 2004; 29(4):935-945|
|Publisher:||Inst Operations Research Management Sciences|
|Christian Bender and Robert J. Elliott|
|Abstract:||We consider binary market models based on the discrete Wick product instead of the pathwise product and provide a sufficient criterion for the existence of an arbitrage. This arbitrage is explicitly constructed in the class of self-financing one-step buy-and-hold strategies, (i.e., the investor holds shares of the stock only at one time step). Using coefficients obtained from an approximation of a fractional Brownian motion with Hurst parameter ½ < H < 1 the result is applied to a discrete version of the (Wick-)fractional Black-Scholes market.|
binary market models
discrete Wick products
fractional Brownian motion
|Appears in Collections:||Applied Mathematics publications|
Aurora harvest 6
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.