Asymptotic arbitrage in fractional mixed markets
We consider a family of mixed processes given as the sum of a fractional Brownian motion with Hurst parameter $H\in (3/4,1)$ and a multiple of an independent standard Brownian motion, the family being indexed by the scaling factor in front of the Brownian motion. We analyze the underlying markets wi...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
VTeX
2018-08-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://www.vmsta.org/doi/10.15559/18-VMSTA109 |