Conditional full support for Fractional Brownian Motion

Authors

Soumia Dani, Tahar Moulay University of Saida
Abdeldjebbar Kandouci, Tahar Moulay University of Saida
Amina A. Bouchentouf, Djillali Liabes University of Sidi Bel Abbes

Abstract

In this paper we establish conditions that imply the conditional full support (CFS) property, introduced by Guasoni et al. (2008), for the processes S_t where BH is a Fractional Brownian motion, R is a continuous process, and the processes R and φ are either progressive or independent of BH: Moreover we build the absence of arbitrage opportunities without calculating the risk-neutral probability.

Recommended Citation

Dani, Soumia; Kandouci, Abdeldjebbar; and Bouchentouf, Amina A. (2017). Conditional full support for Fractional Brownian Motion, Applications and Applied Mathematics: An International Journal (AAM), Vol. 12, Iss. 1, Article 2.
Available at: https://digitalcommons.pvamu.edu/aam/vol12/iss1/2