Arbitrage Opportunities for a Class of Gladyshev Processes

By A. Dasgupta, G. Kallianpur. 2000

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NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (2006, background): “In fact, Rogers (1997), Salopek (1998), Shiryaev (1998), Dasgupta & Kallianpur (2000) and Cheridito (2003) have shown that it allows outright arbitrage in a number of ways.”
Arbitrage with fractional Brownian motion (2007, background): “The following example, essentially due to Shiryaev [23] and Dasgupta and Kallianpur [10], gives a simple explicit construction of an arbitrage in the class of nds-admissible strategies A”
On arbitrage and replication in the fractional Black-Scholes pricing model (2003, methodology): “Note that this strategy u is the arbitrage example of Dasgupta and Kallianpur [4] and Shiryaev [17].”
Fractional Processes as Models in Stochastic Finance (2010, background): “The following simple example is due to Dasgupta and Kallianpur [16] and Shiryaev [39].”
Consistent price systems and face-lifting pricing under transaction costs (2008, background): “However, in a frictionless setting, it turns out that these models lead to arbitrage opportunities [6, 12, 14, 34, 35, 38] and therefore cannot be meaningfully employed for studying optimal investment and derivatives pricing.”