Pricing derivatives in hermite markets
Stoyan V. Stoyanov, Svetlozar T. Rachev, Stefan Mittnik, Frank J. Fabozzi
| Year of publication: |
2019
|
|---|---|
| Authors: | Stoyanov, Stoyan V. ; Račev, Svetlozar T. ; Mittnik, Stefan ; Fabozzi, Frank J. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 6, p. 1-27
|
| Subject: | Hermite processes | fractional Brownian motion | Rosenblatt processes | per-petual derivatives | no-arbitrage | arbitrage tax | Derivat | Derivative | Arbitrage | Stochastischer Prozess | Stochastic process | Arbitrage Pricing | Arbitrage pricing | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024919500316 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012153100