Strong asymptotic arbitrage in the large fractional binary market
Fernando Cordero; Lavinia Perez-Ostafe
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Cordero, Fernando ; Perez-Ostafe, Lavinia |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 10.2016, 2, p. 179-202
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| Subject: | Fractional Brownian motion | Fractional binary markets | Asymptotic arbitrage | Transaction costs | Law of large numbers | Stopping time | Theorie | Theory | Stochastischer Prozess | Stochastic process | Transaktionskosten | Arbitrage Pricing | Arbitrage pricing | Arbitrage |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-015-0155-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011485902