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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/56125
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Björk, Tomas | | en_US |
| dc.contributor.author | | Hult, Henrik | | en_US |
| dc.date.accessioned | | 2012-03-28T13:04:01Z | | - |
| dc.date.available | | 2012-03-28T13:04:01Z | | - |
| dc.date.issued | | 2005 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/56125 | | - |
| dc.description.abstract | | In some recent papers, such as Elliott & van der Hoek, Hu & Öksendal, a fractional Black-Scholes model have been proposed as an improvement of the classical Black-Scholes model. Common to these fractional Black-Scholes models, is that the driving Brownian motion is replaced by a fractional Brownian motion and that the Ito integral is replaced by the Wick integral, and proofs has been presented that these fractional Black-Scholes models are free of arbitrage. These results on absence of arbitrage complelety contradict a number of earlier results in the literature which prove that the fractional Black-Scholes model (and related models) will in fact admit arbitrage. The object of the present paper is to resolve this contradiction by pointing out that the definition of the self-financing trading strategies and/or the definition of the value of a portfolio used in the above cited papers does not have a reasonable economic interpretation, and thus that the results in these papers are not economically meaningful. In particular we show that in the framework of Elliott and van der Hoek, a naive buy-and-hold strategy does not in general qualify as self-financing. We also show that in Hu and Öksendal, a portfolio consisting of a positive number of shares of a stock with a positive price may, with positive probability, have a negative value. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Ekonomiska Forskningsinst. Stockholm | | en_US |
| dc.relation.ispartofseries | | SSE/EFI Working Paper Series in Economics and Finance 596 | | en_US |
| dc.subject.jel | | G10 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Mathematical Finance | | en_US |
| dc.subject.keyword | | Fractional Brownian motion | | en_US |
| dc.subject.keyword | | Arbitrage | | en_US |
| dc.subject.keyword | | option | | en_US |
| dc.subject.keyword | | financial derivatives | | en_US |
| dc.subject.keyword | | wick | | en_US |
| dc.subject.stw | | Finanzmathematik | | en_US |
| dc.subject.stw | | Black-Scholes-Modell | | en_US |
| dc.subject.stw | | Arbitrage Pricing | | en_US |
| dc.subject.stw | | Stochastischer Prozess | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | A note on Wick products and the fractional Black-Scholes model | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 500567158 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics
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