Arbitrage with fractional brownian motion?

dc.contributor.author	Bender, C.
dc.contributor.author	Sottinen, T.
dc.contributor.author	Valkeila, E.
dc.date.accessioned	2009-11-19T10:06:36Z
dc.date.available	2009-11-19T10:06:36Z
dc.date.issued	2007
dc.identifier.citation	Arbitrage with fractional brownian motion? / C. Bender, T. Sottinen, E. Valkeila // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 23-34. — Бібліогр.: 26 назв.— англ.	en_US
dc.identifier.issn	0321-3900
dc.identifier.uri	http://dspace.nbuv.gov.ua/handle/123456789/4474
dc.description.abstract	In recent years fractional Brownian motion has been suggested to replace the classical Brownian motion as driving process in the modelling of many real world phenomena, including stock price modelling. In several papers seemingly contradictory results on the existence or absence of a riskless gain (arbitrage) in such stock models have been stated. This survey tries to clarify this issue by pointing to the importance of the chosen class of admissible trading strategies.	en_US
dc.language.iso	en	en_US
dc.publisher	Інститут математики НАН України	en_US
dc.title	Arbitrage with fractional brownian motion?	en_US
dc.type	Article	en_US
dc.status	published earlier	en_US