Arbitrage with fractional Gaussian processes

作者：Zhang, Xili; Xiao, Weilin^*

来源：Physica A: Statistical Mechanics and Its Applications , 2017, 471: 620-628.

DOI：10.1016/j.physa.2016.12.064

• Arbitrage opportunities
• Fractional Gaussian processes
• Black-Scholes model
• Self-financing
• Long-range dependence

While the arbitrage opportunity in the Black-Scholes model driven by fractional Brownian motion has a long history, the arbitrage strategy in the Black-Scholes model driven by general fractional Gaussian processes is in its infancy. The development of stochastic calculus with respect to fractional Gaussian processes allowed us to study such models. In this paper, following the idea of Shiryaev (1998), an arbitrage strategy is constructed for the Black-Scholes model driven by fractional Gaussian processes, when the stochastic integral is interpreted in the Riemann-Stieltjes sense. Arbitrage opportunities in some fractional Gaussian processes, including fractional Brownian motion, sub-fractional Brownian motion, bi-fractional Brownian motion, weighted-fractional Brownian motion and tempered fractional Brownian motion, are also investigated.

• 出版日期2017-4-1
• 单位浙江大学