英文标题：
《Pricing derivatives in Hermite markets》
---
作者：
Stoyan V. Stoyanov, Svetlozar T. Rachev, Stefan Mittnik, Frank J.
Fabozzi
---
最新提交年份：
2017
---
英文摘要：
We present a new framework for Hermite fractional financial markets, generalizing the fractional Brownian motion and fractional Rosenblatt markets. Considering pure and mixed Hermite markets, we introduce a strategy-specific arbitrage tax on the rate of transaction volume acceleration of the hedging portfolio as the prices of risky assets change, allowing us to transform Hermite markets with arbitrage opportunities to markets with no arbitrage opportunities within the class of Markov trading strategies.
---
中文摘要：
我们提出了一个新的Hermite分数金融市场框架，推广了分数布朗运动和分数Rosenblatt市常考虑到纯Hermite市场和混合Hermite市场，随着风险资产价格的变化，我们对对冲组合的交易量加速率引入了特定于策略的套利税，使我们能够将具有套利机会的Hermite市场转变为马尔可夫交易策略类中无套利机会的市常
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--

---
PDF下载：
-->