Option Pricing In A Fractional Brownian Motion Environment
Download and Read Option Pricing In A Fractional Brownian Motion Environment full books in PDF, ePUB, and Kindle. Read online free Option Pricing In A Fractional Brownian Motion Environment ebook anywhere anytime directly on your device. We cannot guarantee that every ebooks is available!
Related Books
Language: en
Pages: 19
Pages: 19
Type: BOOK - Published: 2008 - Publisher:
In this paper it is developed a framework for evaluating derivatives if the underlying of the derivative contract is supposed to be driven by a fractional Brown
Language: en
Pages: 146
Pages: 146
Type: BOOK - Published: 2009-04-28 - Publisher: Springer Science & Business Media
Mandelbrot and van Ness (1968) suggested fractional Brownian motion as a parsimonious model for the dynamics of ?nancial price data, which allows for dependence
Language: en
Pages: 656
Pages: 656
Type: BOOK - Published: 2012 - Publisher:
Language: en
Pages: 22
Pages: 22
Type: BOOK - Published: 2005 - Publisher:
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
Language: en
Pages: 138
Pages: 138
Type: BOOK - Published: 2006 - Publisher:
