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 …

, 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 …

fractional Black-Scholes models are free of arbitrage. These results on absence of arbitrage complelety contradict a number of … arbitrage. The objective of the present paper is to resolve this contradiction by pointing out that the definition of the self …

In this paper an arbitrage strategy is constructed for the modified Black–Scholes model driven by fractional Brownian … integrator. This property of the integral is crucial in developing the arbitrage strategy. Since fractional Brownian motion and a …

We derive an arbitrage-free pricing dynamics for claims on temperature, where the temperature follows a fractional …