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- W2912018425 abstract "This study deals with the arbitrage problem on the financial market when the underlying asset follows a mixed fractional Brownian motion. We prove the existence and uniqueness theorem for the mixed geometric fractional Brownian motion equation. The semi-martingale approximation approach to mixed fractional Brownian motion is used to eliminate the arbitrage opportunities." @default.
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- W2912018425 date "2019-01-24" @default.
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- W2912018425 title "Solving Arbitrage Problem on the Financial Market Under the Mixed Fractional Brownian Motion With Hurst Parameter H ∈]1/2,3/4[" @default.
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- W2912018425 doi "https://doi.org/10.5539/jmr.v11n1p76" @default.
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