Risk preference based option pricing in a fractional Brownian market
Year of publication: |
2006
|
---|---|
Authors: | Rostek, Stefan ; Schöbel, Rainer |
Publisher: |
Tübingen : Eberhard Karls Universität Tübingen, Wirtschaftswissenschaftliche Fakultät |
Subject: | Optionspreistheorie | Risikopräferenz | Stochastischer Prozess | Theorie | Fractional Brownian motion | Conditional expectation | Risk preference based option pricing | Fractional option pricing | Fractional Greeks |
Series: | |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 558782035 [GVK] hdl:10419/40337 [Handle] RePEc:zbw:tuedps:299 [RePEc] |
Classification: | G13 - Contingent Pricing; Futures Pricing |
Source: |
-
Risk preference based option pricing in a fractional Brownian market
Rostek, Stefan, (2006)
-
Risk preference based option pricing in a fractional Brownian market
Rostek, Stefan, (2006)
-
A Fractionally Integrated Wishart Stochastic Volatility Model
Asai, Manabu, (2013)
- More ...
-
Risk preference based option pricing in a fractional Brownian market
Rostek, Stefan, (2006)
-
A note on the use of fractional Brownian motion for financial modeling
Rostek, Stefan, (2013)
-
Risk preference based option pricing in a fractional Brownian market
Rostek, Stefan, (2006)
- More ...