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    


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.

This work is licensed under a Creative Commons Attribution 4.0 License.
  • Issn(Print): 1916-9795
  • Issn(Onlne): 1916-9809
  • Started: 2009
  • Frequency: bimonthly

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