Option Pricing in Fractional Brownian Markets is popular PDF and ePub book, written by Stefan Rostek in 2009-04-28, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Option Pricing in Fractional Brownian Markets can be Read Online from any device for your convenience.
Option Pricing in Fractional Brownian Markets Book PDF Summary
Mandelbrot and van Ness (1968) suggested fractional Brownian motion as a parsimonious model for the dynamics of ?nancial price data, which allows for dependence between returns over time. Starting with Rogers(1997) there is an ongoing dispute on the proper usage of fractional Brownian motion in option pricing theory. Problems arise because fractional Brownian motion is not a semimartingale and therefore “no arbitrage pricing” cannot be applied. While this is consensus, the consequences are not as clear. The orthodox interpretation is simply that fractional Brownian motion is an inadequate candidate for a price process. However, as shown by Cheridito (2003) any theoretical arbitrage opportunities disappear by assuming that market p- ticipants cannot react instantaneously. This is the point of departure of Rostek’s dissertation. He contributes to this research in several respects: (i) He delivers a thorough introduction to fr- tional integration calculus and uses the binomial approximation of fractional Brownianmotion to give the reader a ?rst idea of this special market setting.
Detail Book of Option Pricing in Fractional Brownian Markets PDF
- Author : Stefan Rostek
- Release : 28 April 2009
- Publisher : Springer Science & Business Media
- ISBN : 9783642003318
- Genre : Business & Economics
- Total Page : 146 pages
- Language : English
- PDF File Size : 17,9 Mb
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