Title of article :
Tolerance to arbitrage
Author/Authors :
Salopek، نويسنده , , D.M.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 1998
Abstract :
An arbitrage opportunity is constructed in a frictionless stock market when price processes have continuous sample paths of bounded p-variation with p∈[1,2).
Keywords :
p-Variation , Fractional Brownian motion , Arbitrage
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications
