Arbitrage with fractional brownian motion

Mathematical Finance

Volumn 7, Issue 1, 1997, Pages 95-105

  Rogers, L C G ^a  

^a UNIVERSITY OF BATH   (United Kingdom)

Author keywords

Arbitrage; Brownian motion; Equivalent martingale measure; Fractional brownian motion; Long range dependence

Indexed keywords

EID: 0031540977     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00025     Document Type: Article

References (7)

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