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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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Rostek, Stefan (Author)
Corporate Author: SpringerLink (Online service)
Format: Electronic eBook
Language:Inglés
Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2009.
Edition:1st ed. 2009.
Series:Lecture Notes in Economics and Mathematical Systems, 622
Subjects:
Finance.
Macroeconomics.
Social sciences > Mathematics.
Financial Economics.
Macroeconomics and Monetary Economics.
Mathematics in Business, Economics and Finance.
Online Access:Texto Completo
Table of Contents:
  • 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.

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