| Fractional brownian motion and binary market models |
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| 作者姓名： | CHEN Yao-hui~ |
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| 摘 要： | We prove a Donsker type approximation theorem for the fractional Brownian motion in the case of the Hurst index greater than one half. With this approximation we construct an elementary market model that converges weakly to the fractional analogue of the Black Scholes model. We show that there exist arbitrage opportunities in this model.
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| 关 键 词： | fractional brownian motion random walk stock price model binary market model |
| 修稿时间： | 2004/2/26 0:00:00 |
Fractional brownian motion and binary market models |
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| CHEN Yao-hui.Fractional brownian motion and binary market models[J].Storage & Process,2004(8):86-91. |
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| Authors: | CHEN Yao-hui |
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| Institution: | CHEN Yao-hui~ |
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| Abstract: | We prove a Donsker type approximation theorem for the fractional Brownian motion in the case of the Hurst index greater than one half. With this approximation we construct an elementary market model that converges weakly to the fractional analogue of the Black Scholes model. We show that there exist arbitrage opportunities in this model. |
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| Keywords: | fractional brownian motion random walk stock price model binary market model |
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