- Working Paper
A fractional binary market is an approximating sequence of binary models for the fractional Black-Scholes model, which Sottinen constructed with the help of a Donsker-type theorem. In a binary market the arbitrage condition can be expressed as a condition on the nodes of a binary tree. We call "arbitrage points" the nodes which verify such an arbitrage condition and "arbitrage paths" the paths which cross at least one arbitrage point. In this work, we provide an in-depth analysis of the asymptotic proportion of arbitrage points and arbitrage paths. Our results are obtained by studying an appropriate rescaled disturbed random walk Show more
Journal / seriesarXiv
Organisational unit03845 - Teichmann, Josef
NotesSubmitted on 30 January 2014. See also http://e-citations.ethbib.ethz.ch/view/pub:171022.
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