Fractional Brownian motion, random walks and binary market models
Fractional Brownian motion, random walks and binary market models
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DOI：
10.1007/pl00013536
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发表时间：
2001-07
影响因子：
1.7
通讯作者：
T. Sottinen
中科院分区：
文献类型：
--
作者：
T. Sottinen
摘要：我们证明了分数布朗运动的一个Donsker型逼近定理，利用这个逼近定理，我们构造了一个初等市场模型，它弱收敛于Black-Scholes模型的分数模拟.我们证明了在这个模型中存在套利机会。一个这样的机会是明确构建的。
Abstract.We prove a Donsker type approximation theorem for the fractional Brownian motion in the caseUsing 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. One such opportunity is constructed explicitly.