DOI QR코드

DOI QR Code

No Arbitrage Condition for Multi-Facor HJM Model under the Fractional Brownian Motion

  • Rhee, Joon-Hee (Department of Business and Administration, Soong-Sil University) ;
  • Kim, Yoon-Tae (Department of Statistics, Hallym University)
  • 발행 : 2009.07.31

초록

Fractional Brwonian motion(fBm) has properties of behaving tails and exhibiting long memory while remaining Gaussian. In particular, it is well known that interest rates show some long memories and non-Markovian. We present no aribitrage condition for HJM model under the multi-factor fBm reflecting the long range dependence in the interest rate model.

키워드

참고문헌

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