Exotic Option Pricing in Stochastic Volatility Levy Models and with Fractional Brownian Motion

Exotic Option Pricing in Stochastic Volatility Levy Models and with Fractional Brownian Motion
Author: Ferdinand Graf
Publisher:
Total Pages:
Release: 2007
Genre:
ISBN:


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Exotic Option Pricing in Stochastic Volatility Levy Models and with Fractional Brownian Motion
Language: en
Pages:
Authors: Ferdinand Graf
Categories:
Type: BOOK - Published: 2007 - Publisher:

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Exotic Option Pricing and Advanced Lévy Models
Language: en
Pages: 344
Authors: Andreas Kyprianou
Categories: Business & Economics
Type: BOOK - Published: 2006-06-14 - Publisher: John Wiley & Sons

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Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfa
Option Pricing in Fractional Brownian Markets
Language: en
Pages: 146
Authors: Stefan Rostek
Categories: Business & Economics
Type: BOOK - Published: 2009-04-28 - Publisher: Springer Science & Business Media

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Mandelbrot and van Ness (1968) suggested fractional Brownian motion as a parsimonious model for the dynamics of ?nancial price data, which allows for dependence
Long Range Stochastic Volatility with Two Scales in Option Pricing
Language: en
Pages: 79
Authors: Li Kong
Categories:
Type: BOOK - Published: 2012 - Publisher:

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We exploit a general framework, a martingale approach method, to estimate the derivative price for different stochastic volatility models. This method is a very
Volatility Estimation and Option Pricing with Fractional Brownian Motion
Language: en
Pages: 22
Authors: Daniel O. Cajueiro
Categories:
Type: BOOK - Published: 2005 - Publisher:

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We study the estimation of volatility using the Fractional Brownian Motion (FBM) to model asset returns. Then, we price some European options using a Black-Scho