Solving Arbitrage Problem on the Financial Market Under the Mixed Fractional Brownian Motion With Hurst Parameter H ∈]1/2,3/4[
Keyword(s):
This study deals with the arbitrage problem on the financial market when the underlying asset follows a mixed fractional Brownian motion. We prove the existence and uniqueness theorem for the mixed geometric fractional Brownian motion equation. The semi-martingale approximation approach to mixed fractional Brownian motion is used to eliminate the arbitrage opportunities.
2018 ◽
Vol 26
(3)
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pp. 143-161
2010 ◽
Vol 20
(09)
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pp. 2761-2782
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2012 ◽
Vol 12
(04)
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pp. 1250004
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2019 ◽
Vol 27
(2)
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pp. 107-122
2019 ◽
Vol 522
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pp. 215-231
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