Copied Option Pricing in Fractional Brownian Markets
Option Pricing in Fractional Brownian Markets
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 Rosteks 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.
Price Comparison
| Seller | Contact Seller | List Price | On Sale | Shipping | Best Promo | Final Price | Volume Discount | Financing | Availability | Seller's Page |
|---|---|---|---|---|---|---|---|---|---|---|
|
BEST PRICE 1 Product Purchase
|
|
$39.99 | $39.99 |
|
$39.99 | See Site | In stock | Visit Store |
Reviews
Questions & Answers
Class, Power and Agrarian Change
$69.99
Constant-Scale Natural Boundary Mapping to Reveal Global and Cosmic Processes
$54.99
The Political Development of the Kurds in Iran
$109.99
Class and Contemporary British Culture
$54.99
Contemporary Perspectives on Relational Wellness
$54.99
Identification of Ligand Binding Site and Protein-Protein Interaction Area
$169.99
Network and Parallel Computing
$109.99
Kompendium Praktische Psychiatrie
$74.99
Ergebnisse der Chirurgie und Orthopdie
$59.99
An introduction to optimal estimation of dynamical systems
$54.99
Interfacial Nanochemistry
$169.99
I Will Never Not Ever Eat a Tomato
$7.46
Personalization of Politics and Electoral Change
$109.99
Pulsed-Field Gel Electrophoresis
$39.99
RNA 3D Structure Analysis and Prediction
$169.99
The French Presence in the South Pacific, 18421940
$54.99
Handbuch Verbrennungsmotor
$349.99
Animal Cell Electroporation and Electrofusion Protocols
$39.99
The Reign of the Customer
$37.99
Sugarcane Biotechnology: Challenges and Prospects
$109.99
Progress in Nephrology
$54.99
Intermediate Physics for Medicine and Biology
$109.99
Literature of Java
$54.99
Artificial Life Models in Software
$169.99
Eigenkapital und Fremdkapital
$179.99
Arguments in History
$39.99
Applied Fourier Analysis
$84.99
Zielgruppenmarketing fr Finanzdienstleister
$44.99
A Practical Guide to Using Glycomics Databases
$169.99
Color Image Processing and Applications
$219.99
Time, Consumption and the Coordination of Everyday Life
$89.99
Scholastic Success With Math: Grade 2 Workbook
$5.24
Higher Education: Handbook of Theory and Research
$129.00
From Analogue to Digital Radio
$89.99
Welfare State
$74.99
Computational Intelligence for Engineering and Management Applications
$299.99
Private Selves in Public Organizations
$39.99
Discovering Shakespeare's Meaning
$109.99
Theorie der Schule
$69.99
Plant Stress Biology
$199.99
