Option Pricing in Fractional Brownian Markets - Lecture Notes in Economics and Mathematical Systems - Stefan Rostek - Books - Springer-Verlag Berlin and Heidelberg Gm - 9783642003301 - May 4, 2009
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Stefan Rostek
Option Pricing in Fractional Brownian Markets - Lecture Notes in Economics and Mathematical Systems 2009 edition

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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.

137 pages, 36 black & white illustrations, 7 black & white tables, biography

Media Books     Paperback Book   (Book with soft cover and glued back)
Released May 4, 2009
ISBN13 9783642003301
Publishers Springer-Verlag Berlin and Heidelberg Gm
Pages 137
Dimensions 155 × 235 × 8 mm   ·   222 g
Language English  

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