Open AccessNo Arbitrage Condition for Multi-Facor HJM Model under the Fractional Brownian Motion
Author(s) -
Joon-Hee Rhee,
Yoon-Tae Kim
Publication year - 2009
Publication title -
communications for statistical applications and methods
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.326
H-Index - 6
eISSN - 2383-4757
pISSN - 2287-7843
DOI - 10.5351/ckss.2009.16.4.639
Subject(s) - heath–jarrow–morton framework , fractional brownian motion , short rate model , mathematics , interest rate , arbitrage , econometrics , statistical physics , brownian motion , statistics , economics , physics , financial economics , volatility (finance) , monetary economics