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Option Pricing in Fractional Brownian Markets
Stefan Rostek
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Description for Option Pricing in Fractional Brownian Markets
Paperback. 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. Series: Lecture Notes in Economics and Mathematical Systems. Num Pages: 151 pages, 36 black & white illustrations, 7 black & white tables, biography. BIC Classification: KCBM; KFFK; PBW. Category: (P) Professional & Vocational. Dimension: 234 x 156 x 8. Weight in Grams: 490.
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. Problems arise because fractional Brownian motion is not a semimartingale and therefore “no arbitrage pricing” cannot be applied. While this is consensus, the consequences are not as clear. The orthodox interpretation is simply that fractional Brownian motion is an inadequate candidate for a price process. However, as shown by Cheridito (2003) any ... Read more
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. Problems arise because fractional Brownian motion is not a semimartingale and therefore “no arbitrage pricing” cannot be applied. While this is consensus, the consequences are not as clear. The orthodox interpretation is simply that fractional Brownian motion is an inadequate candidate for a price process. However, as shown by Cheridito (2003) any ... Read more
Product Details
Format
Paperback
Publication date
2009
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
151
Condition
New
Series
Lecture Notes in Economics and Mathematical Systems
Number of Pages
137
Place of Publication
Berlin, Germany
ISBN
9783642003301
SKU
V9783642003301
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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