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Rostek, Stefan

Option Pricing in Fractional Brownian Markets

Rostek, Stefan - Option Pricing in Fractional Brownian Markets, ebook

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ISBN: 9783642003318
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Table of contents

2. Introduction
Stefan Rostek

3. Fractional Integration Calculus
Stefan Rostek

4. Fractional Binomial Trees
Stefan Rostek

5. Characteristics of the Fractional Brownian Market:Arbitrage and Its Exclusion
Stefan Rostek

6. Risk Preference Based Option Pricing in a Continuous Time Fractional Brownian Market
Stefan Rostek

7. Risk Preference Based Option Pricing in the Fractional Binomial Setting
Stefan Rostek

8. Conclusion
Stefan Rostek

Keywords: Economics/Management Science, Quantitative Finance, Financial Economics, Finance /Banking

Author(s)
Publisher
Springer
Publication year
2009
Language
en
Edition
1
Series
Lecture Notes in Economics and Mathematical Systems
Category
Economy
Format
Ebook
eISBN (PDF)
9783642003318

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