On arbitrage and Markovian short rates in fractional bond markets
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References listed on IDEAS
- Sottinen Tommi & Valkeila Esko, 2003. "On arbitrage and replication in the fractional Black–Scholes pricing model," Statistics & Risk Modeling, De Gruyter, vol. 21(2/2003), pages 93-108, February.
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More about this item
KeywordsBond market model Term structure of interest rates Heath-Jarrow-Morton approach Fractional Brownian motion Fundamental martingale Prediction formula Average risk neutral measure Pathwise stochastic integration Arbitrage opportunity;
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