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math.PR2014★ 3 cited
Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets
Fernando Cordero, Lavinia Perez-Ostafe
We study the arbitrage opportunities in the presence of transaction costs in a sequence of binary markets approximating the fractional Black-Scholes model. This approximating seque…
math.PR2014★ 3 cited
Asymptotic proportion of arbitrage points in fractional binary markets
Fernando Cordero, Irene Klein, Lavinia Perez-Ostafe
A fractional binary market is an approximating sequence of binary models for the fractional Black-Scholes model, which Sottinen constructed by giving an analogue of the Donsker's t…