Solving Arbitrage Problem on the Financial Market Under the Mixed Fractional Brownian Motion With Hurst Parameter H ∈]1/2,3/4[
- Eric Djeutcha
- Didier Alain Njamen Njomen
- Louis-Aimé Fono
Abstract
This study deals with the arbitrage problem on the financial market when the underlying asset follows a mixed fractional Brownian motion. We prove the existence and uniqueness theorem for the mixed geometric fractional Brownian motion equation. The semi-martingale approximation approach to mixed fractional Brownian motion is used to eliminate the arbitrage opportunities.
- Full Text: PDF
- DOI:10.5539/jmr.v11n1p76
This work is licensed under a Creative Commons Attribution 4.0 License.
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