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Option Pricing in Fractional Brownian Markets - Stefan Rostek
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Option Pricing in Fractional Brownian Markets - nuovo livro

2009, ISBN: 9783642003301

Kartoniert, 152 Seiten, 235mm x 155mm x 9mm, Sprache(n): eng Mandelbrot and van Ness (1968) suggested fractional Brownian motion as a parsimonious model for the dynamics of ?nancial price… mais…

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Option Pricing in Fractional Brownian Markets Stefan Rostek Author
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Option Pricing in Fractional Brownian Markets Stefan Rostek Author - nuovo livro

2003, ISBN: 9783642003301

Mandelbrot and van Ness (1968) suggested fractional Brownian motion as a parsimonious model for the dynamics of financial price data, which allows for dependence between returns over time… mais…

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Option Pricing in Fractional Brownian Markets (Lecture Notes in Economics and Mathematical Systems, Band 622) - Rostek, Stefan
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Option Pricing in Fractional Brownian Markets (Lecture Notes in Economics and Mathematical Systems, Band 622) - Livro de bolso

2009

ISBN: 9783642003301

Springer, Paperback, Auflage: 2009, 152 Seiten, Publiziert: 2009-05-04T00:00:01Z, Produktgruppe: Buch, Hersteller-Nr.: 36 black & white illustrations, 7 black, 0.49 kg, Recht, Kategorien,… mais…

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Option Pricing in Fractional Brownian Markets (Lecture Notes in Economics and Mathematical Systems, Band 622) - Rostek, Stefan
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Rostek, Stefan:
Option Pricing in Fractional Brownian Markets (Lecture Notes in Economics and Mathematical Systems, Band 622) - Livro de bolso

2009, ISBN: 9783642003301

Springer, Taschenbuch, Auflage: 2009, 152 Seiten, Publiziert: 2009-05-04T00:00:01Z, Produktgruppe: Buch, Hersteller-Nr.: 36 black & white illustrations, 7 black, 0.22 kg, Recht, Kategorie… mais…

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Option Pricing in Fractional Brownian Markets - Stefan Rostek
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Option Pricing in Fractional Brownian Markets - Livro de bolso

2009, ISBN: 9783642003301

*Option Pricing in Fractional Brownian Markets* - Auflage 2009 / Taschenbuch für 53.49 € / Aus dem Bereich: Bücher, Wissenschaft, Wirtschaftswissenschaft Medien > Bücher nein Buch (karton… mais…

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Option Pricing in Fractional Brownian Markets
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Número ISBN:

9783642003301


The scientific debate of recent years about option pricing with respect to fractional Brownian motion was focused on the feasibility of the no arbitrage pricing approach. As the unrestricted fractional market setting allows for arbitrage, the conventional reasoning is that fractional Brownian motion does not qualify for modeling price process.In this book, the author points out that arbitrage can only be excluded in case that market prices move at least slightly faster than any market participant can react. He clarifies that continuous tradability always eliminates the risk of the fractional price process, irrespective of the interpretation of the stochastic integral as an integral of Stratonovich or Itô type.Being left with an incomplete market setting, the author shows that option valuation with respect to fractional Brownian motion may be solved by applying a risk preference based approach. The latter provides us with an intuitive closed-form solution for European options within the fractional context.

Dados detalhados do livro - Option Pricing in Fractional Brownian Markets


EAN (ISBN-13): 9783642003301
ISBN (ISBN-10): 3642003303
Livro de capa dura
Livro de bolso
Ano de publicação: 2009
Editor/Editora: Springer Berlin Heidelberg
137 Páginas
Peso: 0,240 kg
Língua: eng/Englisch

Livro na base de dados desde 2009-05-04T03:15:46-03:00 (Sao Paulo)
Página de detalhes modificada pela última vez em 2024-03-26T19:01:49-03:00 (Sao Paulo)
Número ISBN/EAN: 9783642003301

Número ISBN - Ortografia alternativa:
3-642-00330-3, 978-3-642-00330-1
Ortografia alternativa e termos de pesquisa relacionados:
Autor do livro: rost, stefan, rostek, mandelbrot, van ness
Título do livro: fractional, markets, mathematical economics, option pricing

Dados da editora

Autor: Stefan Rostek
Título: Lecture Notes in Economics and Mathematical Systems; Option Pricing in Fractional Brownian Markets
Editora: Springer; Springer Berlin
137 Páginas
Ano de publicação: 2009-05-04
Berlin; Heidelberg; DE
Impresso / Feito em
Língua: Inglês
53,49 € (DE)
54,99 € (AT)
59,00 CHF (CH)
POD
XIV, 137 p. 36 illus.

BC; Hardcover, Softcover / Wirtschaft/Volkswirtschaft; Finanzenwesen und Finanzindustrie; Verstehen; Wirtschaft; Arbitrage; Equilibrium Pricing; Fractional Binomial Trees; Fractional Brownian Motion; Hurst Parameter; Risk Preference Based Option Pricing; modeling; quantitative finance; Financial Economics; Macroeconomics and Monetary Economics; Mathematics in Business, Economics and Finance; Makroökonomie; Angewandte Mathematik; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; EA

The scientific debate of recent years about option pricing with respect to fractional Brownian motion was focused on the feasibility of the no arbitrage pricing approach. As the unrestricted fractional market setting allows for arbitrage, the conventional reasoning is that fractional Brownian motion does not qualify for modeling price process. In this book, the author points out that arbitrage can only be excluded in case that market prices move at least slightly faster than any market participant can react. He clarifies that continuous tradability always eliminates the risk of the fractional price process, irrespective of the interpretation of the stochastic integral as an integral of Stratonovich or Itô type. Being left with an incomplete market setting, the author shows that option valuation with respect to fractional Brownian motion may be solved by applying a risk preference based approach. The latter provides us with an intuitive closed-form solution for European options within the fractional context.

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