Fractional brownian motion and binary market models
DOI:
CSTR:
Author:
Affiliation:

Clc Number:

O211.9

Fund Project:

  • Article
  • |
  • Figures
  • |
  • Metrics
  • |
  • Reference
  • |
  • Related
  • |
  • Cited by
  • |
  • Materials
  • |
  • Comments
    Abstract:

    We prove a Donsker type approximation theorem for the fractional Brownian motion in the case of the Hurst index greater than one half. With 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.

    Reference
    Related
    Cited by
Get Citation

陈耀辉.分数布朗运动与二元市场模型[J].重庆大学学报,2004,27(8):86~91

Copy
Related Videos

Share
Article Metrics
  • Abstract:
  • PDF:
  • HTML:
  • Cited by:
History
  • Received:
  • Revised:February 26,2004
  • Adopted:
  • Online:
  • Published:
Article QR Code