Stefan Rostek: Option Pricing in Fractional Brownian Markets - neues Buch
2003, ISBN: 9783642003318
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.… Mehr…
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 â??no arbitrage pricingâ? 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 theoretical arbitrage opportunities disappear by assuming that market p- ticipants cannot react instantaneously. This is the point of departure of Rostekâ??s dissertation. He contributes to this research in several respects: (i) He delivers a thorough introduction to fr- tional integration calculus and uses the binomial approximation of fractional Brownianmotion to give the reader a ?rst idea of this special market setting. Books > Finance eBook, Springer Shop<
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Option Pricing in Fractional Brownian Markets - neues Buch
2003, ISBN: 9783642003318
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.… Mehr…
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 theoretical arbitrage opportunities disappear by assuming that market p- ticipants cannot react instantaneously. This is the point of departure of Rostek’s dissertation. He contributes to this research in several respects: (i) He delivers a thorough introduction to fr- tional integration calculus and uses the binomial approximation of fractional Brownianmotion to give the reader a ?rst idea of this special market setting., Springer<
Springer.com
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Manfred Grauer: Option Pricing in Fractional Brownian Markets - neues Buch
ISBN: 9783642003318
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.; PDF; Business,Fina… Mehr…
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.; PDF; Business,Finance and Law > Economics > Macroeconomics > Monetary economics, Springer Berlin Heidelberg<
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(*) Derzeit vergriffen bedeutet, dass dieser Titel momentan auf keiner der angeschlossenen Plattform verfügbar ist.
Option Pricing in Fractional Brownian Markets - neues Buch
2003, ISBN: 9783642003318
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.… Mehr…
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 â??no arbitrage pricingâ? 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 theoretical arbitrage opportunities disappear by assuming that market p- ticipants cannot react instantaneously. This is the point of departure of Rostekâ??s dissertation. He contributes to this research in several respects: (i) He delivers a thorough introduction to fr- tional integration calculus and uses the binomial approximation of fractional Brownianmotion to give the reader a ?rst idea of this special market setting. Books > Finance eBook, Springer Shop<
new in stock. Versandkosten:zzgl. Versandkosten. (EUR 0.00)
Option Pricing in Fractional Brownian Markets - neues Buch
2003, ISBN: 9783642003318
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.… Mehr…
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 theoretical arbitrage opportunities disappear by assuming that market p- ticipants cannot react instantaneously. This is the point of departure of Rostek’s dissertation. He contributes to this research in several respects: (i) He delivers a thorough introduction to fr- tional integration calculus and uses the binomial approximation of fractional Brownianmotion to give the reader a ?rst idea of this special market setting., Springer<
Nr. 978-3-642-00331-8. Versandkosten:Worldwide free shipping, , DE. (EUR 0.00)
Manfred Grauer: Option Pricing in Fractional Brownian Markets - neues Buch
ISBN: 9783642003318
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.; PDF; Business,Fina… Mehr…
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.; PDF; Business,Finance and Law > Economics > Macroeconomics > Monetary economics, Springer Berlin Heidelberg<
No. 9783642003318. Versandkosten:Instock, Despatched same working day before 3pm, zzgl. Versandkosten.
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Buch in der Datenbank seit 2011-08-28T19:49:18+02:00 (Vienna) Buch zuletzt gefunden am 2024-03-26T23:01:50+01:00 (Vienna) ISBN/EAN: 9783642003318
ISBN - alternative Schreibweisen: 978-3-642-00331-8 Alternative Schreibweisen und verwandte Suchbegriffe: Autor des Buches: rostek Titel des Buches: option pricing
Daten vom Verlag:
Autor/in: Stefan Rostek Titel: Lecture Notes in Economics and Mathematical Systems; Option Pricing in Fractional Brownian Markets Verlag: Springer; Springer Berlin 137 Seiten Erscheinungsjahr: 2009-04-28 Berlin; Heidelberg; DE Sprache: Englisch 53,49 € (DE) 55,00 € (AT) 59,00 CHF (CH) Available XIV, 137 p. 36 illus.
EA; E107; eBook; Nonbooks, PBS / Wirtschaft/Volkswirtschaft; Finanzenwesen und Finanzindustrie; Verstehen; Arbitrage; Equilibrium Pricing; Fractional Binomial Trees; Fractional Brownian Motion; Hurst Parameter; Risk Preference Based Option Pricing; modeling; quantitative finance; C; Financial Economics; Macroeconomics and Monetary Economics; Mathematics in Business, Economics and Finance; Economics and Finance; Makroökonomie; Angewandte Mathematik; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; BC
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 Itô 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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