Option Pricing in Fractional Brownian Markets
The scientific debate of recent years about option pricing with respect to fractional Brownian motion was focused on the feasibility of the no arbitrage pricing approach. As the unrestricted fractional market setting allows for arbitrage, the conventional reasoning is that fractional Brownian motion...
Κύριος συγγραφέας: | Rostek, Stefan (Συγγραφέας) |
---|---|
Συγγραφή απο Οργανισμό/Αρχή: | SpringerLink (Online service) |
Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
2009.
|
Σειρά: | Lecture Notes in Economics and Mathematical Systems,
622 |
Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
Παρόμοια τεκμήρια
-
Pricing of Bond Options Unspanned Stochastic Volatility and Random Field Models /
ανά: Repplinger, Detlef
Έκδοση: (2008) -
Market-Conform Valuation of Options
ανά: Herwig, Tobias
Έκδοση: (2006) -
A Time Series Approach to Option Pricing Models, Methods and Empirical Performances /
ανά: Chorro, Christophe, κ.ά.
Έκδοση: (2015) -
Strategic Trading in Illiquid Markets
ανά: Mönch, Burkart
Έκδοση: (2005) -
Multifractal Financial Markets An Alternative Approach to Asset and Risk Management /
ανά: hayek kobeissi, yasmine
Έκδοση: (2013)