The Hurst Parameter and Option Pricing with Fractional Brownian Motion

The Hurst Parameter and Option Pricing with Fractional Brownian Motion
Author: Anna Julia Ostaszewicz
Publisher:
Total Pages: 656
Release: 2012
Genre: Brownian motion processes
ISBN:


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The Hurst Parameter and Option Pricing with Fractional Brownian Motion
Language: en
Pages: 656
Authors: Anna Julia Ostaszewicz
Categories: Brownian motion processes
Type: BOOK - Published: 2012 - 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
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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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