Volatility Estimation And Option Pricing With Fractional Brownian Motion
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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.
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