2021 / March Volume 16 No.1
The Absence of Arbitrage Property in Mixed Fractional Bownian Motion Setting
| Published Date |
2021 / March
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| Title | The Absence of Arbitrage Property in Mixed Fractional Bownian Motion Setting |
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| Pagination | 63-77 |
| Abstract | In this paper, we investigate the condition full support property (CFS) for the stochastic process $S_{t}=R_{t}+\int_{0}^{t}\phi_{s}dM^{H}_{s}$, where $M^{H}_{s}$ is a mixed fractional Brownian motion, $R_{t}$ a continuous adapted process, and $(\phi_{t})$ an elementary predictable process. The problem of the absence of arbitrage for this process is treated.
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| DOI | |
| AMS Subject Classification |
34A08, 34K50, 93B05, 58J65
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| Received |
2021-03-18
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