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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| Autor Corporativo: | |
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
2009.
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| Colección: | Lecture Notes in Economics and Mathematical Systems,
622. Springer eBooks. |
| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b36245665*spi |
Tabla de Contenidos:
- 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.
