In this paper we establish conditions that imply the conditional full support (CFS) property, introduced by Guasoni et al. (2008), for the processes St 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.
Dani, Soumia; Kandouci, Abdeldjebbar; and Bouchentouf, Amina A.
Conditional full support for Fractional Brownian Motion,
Applications and Applied Mathematics: An International Journal (AAM), Vol. 12,
1, Article 2.
Available at: https://digitalcommons.pvamu.edu/aam/vol12/iss1/2