Abstract
We introduce Hermite fractional financial markets, where market uncertainties are described by multidimensional Hermite motions. Hermite markets include as particular cases financial markets driven by multivariate fractional Brownian motion and multivariate Rosenblatt motion. Conditions for no-arbitrage and market completeness for Hermite markets are derived. Perpetual derivatives, bonds forwards, and futures are priced. The corresponding partial and partial-differential equations are derived.
Connections
Explore this paper’s authors, topics and related work.
Building this map preview
BZPEER is loading the nearby papers, people, topics and institutions for this page.
Reviews 0
Write a review
No reviews yet.
Discussion 0
Add a comment
No comments yet.