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...
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| Format: | Electronic eBook |
| Language: | English |
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Berlin, Heidelberg :
Springer Berlin Heidelberg,
2009.
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| Series: | Lecture Notes in Economics and Mathematical Systems,
622 |
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| Online Access: | Full Text via HEAL-Link |
