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Option Pricing in Fractional Brownian Markets - Lecture Notes in Economics and Mathematical Systems Stefan Rostek 2009 edition
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Option Pricing in Fractional Brownian Markets - Lecture Notes in Economics and Mathematical Systems
Stefan Rostek
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.
137 pages, 36 black & white illustrations, 7 black & white tables, biography
| Mediji | Grāmatas Paperback Book (Grāmata ar mīksto vāku un līmēto muguru) |
| Izlaists | 2009. gada 4. maijs |
| ISBN13 | 9783642003301 |
| Izdevēji | Springer-Verlag Berlin and Heidelberg Gm |
| Lapas | 137 |
| Izmēri | 155 × 235 × 8 mm · 222 g |
| Valoda | Angļu |
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