Arbitrage in fractional Brownian motion models
- Cite this article as:
- Cheridito, P. Finance Stochast (2003) 7: 533. doi:10.1007/s007800300101
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We construct arbitrage strategies for a financial market that consists of a money market account and a stock whose discounted price follows a fractional Brownian motion with drift or an exponential fractional Brownian motion with drift. Then we show how arbitrage can be excluded from these models by restricting the class of trading strategies.