In this work we determine the financial laws accordin to which the riskless component of a random immunized portfolio must evolve in order to avoid the possibility of arbitrages, under the assumption following which the dynamics of the stochastic component of the same portfolio is describable by means of a fractional Brownian motion.
Fractional differo-integral calculus for finance: some results
CORAZZA, Marco
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2001-01-01
Abstract
In this work we determine the financial laws accordin to which the riskless component of a random immunized portfolio must evolve in order to avoid the possibility of arbitrages, under the assumption following which the dynamics of the stochastic component of the same portfolio is describable by means of a fractional Brownian motion.
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