Risk Preference Based Option Pricing in a Fractional Brownian Market

Risk Preference Based Option Pricing in a Fractional Brownian Market
Author: Stefan Rostek
Publisher:
Total Pages: 0
Release: 2006
Genre:
ISBN:


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Risk Preference Based Option Pricing in a Fractional Brownian Market
Language: en
Pages: 0
Authors: Stefan Rostek
Categories:
Type: BOOK - Published: 2006 - Publisher:

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Risk Preference Based Option Pricing in a Fractional Brownian Market
Language: en
Pages: 50
Authors: Stefan Rostek
Categories:
Type: BOOK - Published: 2006 - Publisher:

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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
Option Pricing in a Fractional Brownian Motion Environment
Language: en
Pages: 19
Authors: Ciprian Necula
Categories:
Type: BOOK - Published: 2008 - Publisher:

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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
Option Pricing in Fractional Brownian Markets
Language: en
Pages: 137
Authors: Stefan Rostek
Categories: Business & Economics
Type: BOOK - Published: 2009-05-04 - Publisher: Springer

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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