English

No simple arbitrage for fractional Brownian motion

Probability 2015-08-04 v1

Abstract

We prove the following result: For (Zt)tR(Z_t)_{t \in \mathbf{R}} a fractional Brownian motion with arbitrary Hurst parameter, there does not exist any stopping time τ\tau adapted to the natural filtration of the increments of ZZ such that, with positive probability, τ\tau a local minimum at right of the trajectory of ZZ.

Keywords

Cite

@article{arxiv.1508.00553,
  title  = {No simple arbitrage for fractional Brownian motion},
  author = {Rémi Peyre},
  journal= {arXiv preprint arXiv:1508.00553},
  year   = {2015}
}

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21 pages