Fractional brownian motion and binary market models
Article
Figures
Metrics
Preview PDF
Reference
Related
Cited by
Materials
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.
