Arbitrage with fractional Gaussian processes
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- 作者：Xili Zhang xlzhang83@163.com ; Weilin Xiao ; weilinhy@163.com
- 关键词：Arbitrage opportunities ; Fractional Gaussian processes ; Black&ndash ; Scholes model ; Self-financing ; Long-range dependence
- 刊名：Physica A: Statistical Mechanics and its Applications
- 出版年：2017
- 出版时间：1 April 2017
- 年：2017
- 卷：471
- 期：Complete
- 页码：620-628
- 全文大小：410 K
- 卷排序：471
文摘
The arbitrage opportunities in fractional Gaussian processes are investigated. An arbitrage strategy is constructed for the Black–Scholes model driven by fractional Gaussian process. Some examples of fractional Gaussian processes are presented.