Solving Arbitrage Problem on the Financial Market Under the Mixed Fractional Brownian Motion With Hurst Parameter H ∈]1/2,3/4[

Eric Djeutcha, Didier Alain Njamen Njomen and Louis-Aimé Fono

Journal of Mathematics Research, 2019, vol. 11, issue 1, 76-92

Abstract: This study deals with the arbitrage problem on the financial market when the underlying asset follows a mixed fractional Brownian motion. We prove the existence and uniqueness theorem for the mixed geometric fractional Brownian motion equation. The semi-martingale approximation approach to mixed fractional Brownian motion is used to eliminate the arbitrage opportunities.

Keywords: mixed fractional process; asset pricing; Gaussian process (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:ibn:jmrjnl:v:11:y:2019:i:1:p:76

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