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|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.|
|Keywords:||Arbitrage; binary market models; discrete Wick products; fractional Brownian motion|
|Appears in Collections:||Applied Mathematics publications|
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