Volatility Estimation and Option Pricing with Fractional Brownian Motion

Volatility Estimation and Option Pricing with Fractional Brownian Motion
Author: Daniel O. Cajueiro
Publisher:
Total Pages: 22
Release: 2005
Genre:
ISBN:
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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-Scholes type formula derived for the FBM market model.


Volatility Estimation and Option Pricing with Fractional Brownian Motion
Language: en
Pages: 22

Volatility Estimation and Option Pricing with Fractional Brownian Motion

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
Exotic Option Pricing in Stochastic Volatility Levy Models and with Fractional Brownian Motion
Language: en
Pages:

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

Authors: Ferdinand Graf
Categories:
Type: BOOK - Published: 2007 - Publisher:

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Option Pricing in Fractional Brownian Markets
Language: en
Pages: 137

Option Pricing in Fractional Brownian Markets

Authors: Stefan Rostek
Categories: Business & Economics
Type: BOOK - Published: 2009-08-29 - 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
Rough Volatility
Language: en
Pages: 292

Rough Volatility

Authors: Christian Bayer
Categories: Mathematics
Type: BOOK - Published: 2023-12-18 - Publisher: SIAM

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Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a se
Parameter Estimation in Stochastic Volatility Models
Language: en
Pages: 634

Parameter Estimation in Stochastic Volatility Models

Authors: Jaya P. N. Bishwal
Categories: Mathematics
Type: BOOK - Published: 2022-08-06 - Publisher: Springer Nature

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This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While