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A note on arbitrage under transaction costs
Irle, Albrecht; Prelle, Claas - 2008
Guasoni (2006) introduced a simple condition for the absence of arbitrage opportunities. In this note we show that his … results remain valid under a weaker notion of arbitrage which arises by excluding liquidation costs from the value process of …
Persistent link: https://www.econbiz.de/10010274720
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A note on Wick products and the fractional Black-Scholes model
Björk, Tomas; Hult, Henrik - 2005
, and proofs has been presented that these fractional Black-Scholes models are free of arbitrage. These results on absence … of arbitrage complelety contradict a number of earlier results in the literature which prove that the fractional Black …-Scholes model (and related models) will in fact admit arbitrage. The object of the present paper is to resolve this contradiction by …
Persistent link: https://www.econbiz.de/10010281205
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A Note on Wick Products and the Fractional Black-Scholes Model
Björk, Tomas; Hult, Henrik - Economics Institute for Research (SIR), … - 2005
, and proofs has been presented that these fractional Black-Scholes models are free of arbitrage. These results on absence … of arbitrage complelety contradict a number of earlier results in the literature which prove that the fractional Black …-Scholes model (and related models) will in fact admit arbitrage. <p> The object of the present paper is to resolve this …
Persistent link: https://www.econbiz.de/10005649515
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On the extent of arbitrage constraints within transaction algebras
Apreda, Rodolfo - 2003
Although the standard trading arbitrage model provides with simple settings and adjustment mechanisms so as to take … profit whenever an arbitrage opportunity comes up, empirical evidence has been piling up showing that this point of view … standard financial arbitrage model from being functional to real markets environments. To overcome such drawbacks, this paper …
Persistent link: https://www.econbiz.de/10010323192
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Sticky continuous processes have consistent price systems
Bender, Christian; Pakkanen, Mikko S.; Sayit, Hasanjan - School of Economics and Management, University of Aarhus - 2013
Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous, multi-asset price process has a consistent price system, under...
Persistent link: https://www.econbiz.de/10010851256
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On the Extent of Arbitrage Constraints within Transaction Algebras (A non-standard approach).
Apreda, Rodolfo - Universidad del CEMA - 2003
Although the standard trading arbitrage model provides with simple settings and adjustment mechanisms so as to take … profit whenever an arbitrage opportunity comes up, empirical evidence has been piling up showing that this point of view … standard financial arbitrage model from being functional to real markets environments. To overcome such drawbacks, this paper …
Persistent link: https://www.econbiz.de/10005668785
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Barrier Options and a Reflection Principle of the Fractional Brownian Motion
Necula, Cipian - Center for Advanced Research in Finance and Banking … - 2008
The purpose of this paper is to obtain the price of the barrier options in a fractional Brownian motion environment in the special case of zero interest rate. As a consequence we derive a reflection principle for the fractional Brownian motion.
Persistent link: https://www.econbiz.de/10005036709
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Pricing European and Barrier Options in the Fractional Black-Scholes Market
Necula, Ciprian - Center for Advanced Research in Finance and Banking … - 2008
The aim of this paper is to obtain the valuation formulas for European and barrier options if the underlying of the option contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5. The paper is build upon the framework developed in Necula (2007) for...
Persistent link: https://www.econbiz.de/10005036721
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Option Pricing in a Fractional Brownian Motion Environment
Necula, Cipian - Center for Advanced Research in Finance and Banking … - 2008
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option for every t in [0,T], a fractional Black-Scholes equation and a risk-neutral valuation theorem if the underlying is driven by a fractional Brownian motion BH (t), 1/2 H 1. For this purpose we...
Persistent link: https://www.econbiz.de/10005036725
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A Framework for Derivative Pricing in the Fractional Black-Scholes Market
Necula, Ciprian - Center for Advanced Research in Finance and Banking … - 2008
The aim of this paper is to develop a framework for evaluating derivatives if the underlying of the derivative contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5. For this purpose we first prove some results regarding the quasi-conditional...
Persistent link: https://www.econbiz.de/10005036726