Arbitrage with Fractional Brownian Motion

• 5 January 1997
• journal article
• Published by Wiley in Mathematical Finance
• Vol. 7  (1) , 95-105
• https://doi.org/10.1111/1467-9965.00025

Abstract

Keywords

• FRACTIONAL BROWNIAN MOTION
• BROWNIAN MOTION
• ARBITRAGE
• LONG–RANGE DEPENDENCE
• EQUIVALENT MARTINGALE MEASURE