Inoue, Akihiko; Nakano, Yumiharu; Anh, Vo - In: Statistics & Probability Letters 77 (2007) 3, pp. 256-264
We construct a binary market model with memory that approximates a continuous-time market model driven by a Gaussian process equivalent to Brownian motion. We give a sufficient condition for the binary model to be arbitrage-free. In a case when arbitrage opportunities exist, we present the rate...