Option Pricing in Fractional Brownian Markets

• Main Author: Rostek, Stefan. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2009.
• Series: Lecture Notes in Economics and Mathematical Systems, 622
• Subjects: Economics.; Finance.; Banks and banking.; Economics/Management Science.; Finance /Banking.; Financial Economics.; Quantitative Finance.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-642-00331-8

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...

Table of Contents:

• 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.