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100301s2009 gw | s |||| 0|eng d |
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|a 9783642003318
|9 978-3-642-00331-8
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| 024 |
7 |
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|a 10.1007/978-3-642-00331-8
|2 doi
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| 100 |
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|a Rostek, Stefan.
|e author.
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|a Option Pricing in Fractional Brownian Markets
|c by Stefan Rostek.
|h [electronic resource] /
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| 264 |
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|a Berlin, Heidelberg :
|b Springer Berlin Heidelberg,
|c 2009.
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| 300 |
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|a XIV, 137p. 72 illus., 36 illus. in color.
|b online resource.
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| 336 |
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|a text
|b txt
|2 rdacontent
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| 337 |
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|a computer
|b c
|2 rdamedia
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| 338 |
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|a online resource
|b cr
|2 rdacarrier
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| 347 |
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|a text file
|b PDF
|2 rda
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| 490 |
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|a Lecture Notes in Economics and Mathematical Systems,
|v 622
|x 0075-8442 ;
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| 505 |
0 |
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|a Introduction -- Fractional Integration Calculus -- Fractional Binomial Trees -- Characteristics of the Fractional Brownian Market: Arbitrage and Its Exclusion -- Risk Preference Based Option Pricing in a Continuous Time Fractional Brownian Market -- Risk Preference Based Option Pricing in the Fractional Binomial Setting -- Conclusion.
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| 520 |
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|a The scientific debate of recent years about option pricing with respect to fractional Brownian motion was focused on the feasibility of the no arbitrage pricing approach. As the unrestricted fractional market setting allows for arbitrage, the conventional reasoning is that fractional Brownian motion does not qualify for modeling price process. 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. He clarifies that continuous tradability always eliminates the risk of the fractional price process, irrespective of the interpretation of the stochastic integral as an integral of Stratonovich or It ̥type. Being left with an incomplete market setting, the author shows that option valuation with respect to fractional Brownian motion may be solved by applying a risk preference based approach. The latter provides us with an intuitive closed-form solution for European options within the fractional context.
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| 650 |
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|a Economics.
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| 650 |
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|a Finance.
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| 650 |
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|a Banks and banking.
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| 650 |
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4 |
|a Economics/Management Science.
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| 650 |
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|a Finance /Banking.
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| 650 |
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|a Financial Economics.
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| 650 |
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|a Quantitative Finance.
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| 710 |
2 |
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|a SpringerLink (Online service)
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| 773 |
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|t Springer eBooks
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| 776 |
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|i Printed edition:
|z 9783642003301
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| 830 |
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|a Lecture Notes in Economics and Mathematical Systems,
|v 622
|x 0075-8442 ;
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| 856 |
4 |
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|u https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-642-00331-8
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| 912 |
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|a ZDB-2-SBE
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| 950 |
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|a Business and Economics (Springer-11643)
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