Arbitrage in a discrete version of the Wick-fractional Black-Scholes market

Mathematics of Operations Research

Volumn 29, Issue 4, 2004, Pages 935-945

  Bender, Christian ^a   Elliott, Robert J ^b  

^a WEIERSTRASS INSTITUTE FOR APPLIED ANALYSIS AND STOCHASTICS   (Germany)

^b UNIVERSITY OF CALGARY   (Canada)

Author keywords

Arbitrage; Binary market models; Discrete Wick products; Fractional Brownian motion

Indexed keywords

APPROXIMATION THEORY; BROWNIAN MOVEMENT; FINANCE; MATHEMATICAL MODELS; PROBABILITY; RANDOM PROCESSES;

ARBITRAGE; BINARY MARKET MODELS; DISCRETE WICK PRODUCTS; FRACTIONAL BROWNIAN MOTION;

OPERATIONS RESEARCH;

EID: 11244333210     PISSN: 0364765X     EISSN: None     Source Type: Journal    
DOI: 10.1287/moor.1040.0096     Document Type: Article

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