On the no-arbitrage market and continuity in the Hurst parameter
Mathematical Finance
2015-10-14 v4
Abstract
We consider a market with fractional Brownian motion with stochastic integrals generated by the Riemann sums. We found that this market is arbitrage free if admissible strategies that are using observations with an arbitrarily small delay. Moreover, we found that this approach eliminates the discontinuity of the stochastic integrals with respect to the Hurst parameter H at H=1/2.
Keywords
Cite
@article{arxiv.1509.06472,
title = {On the no-arbitrage market and continuity in the Hurst parameter},
author = {Nikolai Dokuchaev},
journal= {arXiv preprint arXiv:1509.06472},
year = {2015}
}
Comments
arXiv admin note: text overlap with arXiv:1509.06112