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.



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