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

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… Altro …

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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 libro

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… Altro …

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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) - edizione con copertina flessibile

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,… Altro …

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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) - edizione con copertina flessibile

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… Altro …

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Option Pricing in Fractional Brownian Markets - Stefan Rostek
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Stefan Rostek:
Option Pricing in Fractional Brownian Markets - edizione con copertina flessibile

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… Altro …

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Dettagli del libro
Option Pricing in Fractional Brownian Markets
Autore:
Titolo:
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.

Informazioni dettagliate del libro - Option Pricing in Fractional Brownian Markets


EAN (ISBN-13): 9783642003301
ISBN (ISBN-10): 3642003303
Copertina rigida
Copertina flessibile
Anno di pubblicazione: 2009
Editore: Springer Berlin Heidelberg
137 Pagine
Peso: 0,240 kg
Lingua: eng/Englisch

Libro nella banca dati dal 2009-05-04T08:15:46+02:00 (Zurich)
Pagina di dettaglio ultima modifica in 2024-03-26T23:01:49+01:00 (Zurich)
ISBN/EAN: 9783642003301

ISBN - Stili di scrittura alternativi:
3-642-00330-3, 978-3-642-00330-1
Stili di scrittura alternativi e concetti di ricerca simili:
Autore del libro : rost, stefan, rostek, mandelbrot, van ness
Titolo del libro: fractional, markets, mathematical economics, option pricing

Dati dell'editore

Autore: Stefan Rostek
Titolo: Lecture Notes in Economics and Mathematical Systems; Option Pricing in Fractional Brownian Markets
Editore: Springer; Springer Berlin
137 Pagine
Anno di pubblicazione: 2009-05-04
Berlin; Heidelberg; DE
Stampato / Fatto in
Lingua: Inglese
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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