Option Pricing in Fractional Brownian Markets

• 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: Finance.; Economics, Mathematical.; Macroeconomics.; Finance, general.; Macroeconomics/Monetary Economics//Financial Economics.; Quantitative Finance.

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...

Πίνακας περιεχομένων:

• Fractional Integration Calculus
• Fractional Binomial Trees
• Characteristics of the Fractional Brownian Market:Arbitrage and Its Exclusion
• Risk Preference Based Option Pricing in a Continuous Time Fractional Brownian Market
• Risk Preference Based Option Pricing in the Fractional Binomial Setting
• Conclusion.