Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
Abstract In this article, we prove a Donsker type approximation theorem for the Rosenblatt process, which is a selfsimilar stochastic process exhibiting long range dependence. We use this result to construct a binary market model driven by this process and we show that the model admits arbitrage opportunities. Finally we …