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Option Pricing in Fractional Brownian Markets · Study

BookOption Pricing in Fractional Brownian Markets

Stefan Rostek2009

Book2009

Option Pricing in Fractional Brownian Markets

68 citations·0/0 files stored·Lecture notes in economics and mathematical systems

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Stochastic processes and financial applications Financial Markets and Investment Strategies Fractional Differential Equations Solutions

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2001Mixed Fractional Brownian Motion

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2020Geometric fractional Brownian motion model for commodity market simulation 2017Mixed fractional Heston model and the pricing of American options 2014Fractional Order Stochastic Differential Equation with Application in European Option Pricing 2013A Highly Accurate Finite Element Method to Price Discrete Double Barrier Options 2020Study of memory effect in an inventory model for deteriorating items with partial backlogging 2016Arbitrage with fractional Gaussian processes 2011The valuation of equity warrants in a fractional Brownian environment

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2003Arbitrage in fractional Brownian motion modelsarticle · 1 shared reference 2005On bifractional Brownian motionarticle · 1 shared reference 2006Some properties of the sub-fractional Brownian motionarticle · 1 shared reference 2012A note on the use of fractional Brownian motion for financial modelingarticle · 1 shared reference 2006On the mixed fractional Brownian motionarticle · 1 shared reference 2008Pricing by hedging and no-arbitrage beyond semimartingalesarticle · 1 shared reference

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Year2009

Typebook

Published2009-01-01

VenueLecture notes in economics and mathematical systems

ISSN-L0075-8442

Languageen

Citations68

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-642-00331-8

openalex_workW636764665

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