3 citations · 11 across the 4 of their papers we have counts for
4 papers
Asymptotic arbitrage in fractional mixed markets
Fernando Cordero, Irene Klein, Lavinia Perez-Ostafe
We consider a family of mixed processes given as the sum of a fractional Brownian motion with Hurst parameter and a multiple of an independent standard Brownian motio…
Strong asymptotic arbitrage in the large fractional binary market
Fernando Cordero, Lavinia Perez-Ostafe
We study, from the perspective of large financial markets, the asymptotic arbitrage opportunities in a sequence of binary markets approximating the fractional Black-Scholes model.…
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…
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…