Applied Mathematics and Optimization

, Volume 41, Issue 3, pp 377–385

Arbitrage Opportunities for a Class of Gladyshev Processes

  • A. Dasgupta
  • G. Kallianpur

Abstract.

Geometric versions of a class of Gaussian processes are investigated as possible models for stock prices. Arbitrage opportunities are constructed for these processes showing that option pricing is not possible with these models.

Key words. Geometric fractional Brownian motion, Gaussian processes, Arbitrage opportunity. AMS Classification. 60G15, 60H05, 90A09. 

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Copyright information

© 2000 Springer-Verlag New York Inc.

Authors and Affiliations

  • A. Dasgupta
    • 1
  • G. Kallianpur
    • 1
  1. 1.Department of Statistics, University of North Carolina, Chapel Hill, NC 27599-3260, USA amites@email.unc.eduUS

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