On the no-arbitrage market and continuity in the Hurst parameter

Nikolai Dokuchaev

Papers from arXiv.org

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.

Date: 2015-09, Revised 2015-10
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