Donsker type theorem for the Rosenblatt process and a binary market model
نویسندگان
چکیده
In this paper, we prove a Donsker type approximation theorem for the Rosenblatt process, which is a selfsimilar stochastic process exhibiting long range dependence. By using numerical results and simulated data, we show that this approximation performs very well. We use this result to construct a binary market model driven by this process and we show that the model admits arbitrage opportunities. 2000 AMS Classification Numbers: 60F17, 91B70.
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تاریخ انتشار 2008