Fractional Brownian motion, random walks and binary market models
نویسنده
چکیده
We prove a Donsker type approximation theorem for the fractional Brownian motion in the case H > 1/2. Using this approximation we construct an elementary market model that converges weakly to the fractional analogue of the Black–Scholes model. We show that there exist arbitrage opportunities in this model. One such opportunity is constructed explicitly.
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عنوان ژورنال:
- Finance and Stochastics
دوره 5 شماره
صفحات -
تاریخ انتشار 2001