Arbeitspapier
Risk preference based option pricing in a fractional Brownian market
We focus on a preference based approach when pricing options in a market driven by fractional Brownian motion. Within this framework we derive formulae for fractional European options using the traditional idea of conditional expectation. The obtained formulae - as well as further results - accord with classical Brownian theory and con?rm economic intuition towards fractional Brownian motion. Furthermore the in?uence of the Hurst parameter H on the price of a European option will be analyzed.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tübinger Diskussionsbeiträge ; No. 299
- Classification
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
- Subject
-
Fractional Brownian motion
Conditional expectation
Risk preference based option pricing
Fractional option pricing
Fractional Greeks
Optionspreistheorie
Risikopräferenz
Stochastischer Prozess
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Rostek, Stefan
Schöbel, Rainer
- Event
-
Veröffentlichung
- (who)
-
Eberhard Karls Universität Tübingen, Wirtschaftswissenschaftliche Fakultät
- (where)
-
Tübingen
- (when)
-
2006
- Handle
- URN
-
urn:nbn:de:bsz:21-opus-21835
- Last update
- 10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Rostek, Stefan
- Schöbel, Rainer
- Eberhard Karls Universität Tübingen, Wirtschaftswissenschaftliche Fakultät
Time of origin
- 2006
Other Objects (12)
Risk preference based option pricing in a fractional Brownian market
Option pricing in fractional Brownian markets
Exotic Option Pricing in Stochastic Volatility Levy Models and with Fractional Brownian Motion
The multinomial option pricing model and its Brownian and poisson limits
Dimensions of Fractional Brownian Images
Preference-free option pricing with path-dependent volatility: A closed-form approach
Strategic option pricing
Relativistic option pricing
Strategic option pricing
Fractional Brownian motion in crowded fluids
Generating Diffusions with Fractional Brownian Motion
Soliton wave profiles and dynamical analysis of fractional Ivancevic option pricing model
Risk preference based option pricing in a fractional Brownian market
Option pricing in fractional Brownian markets
Exotic Option Pricing in Stochastic Volatility Levy Models and with Fractional Brownian Motion
The multinomial option pricing model and its Brownian and poisson limits
Dimensions of Fractional Brownian Images
Preference-free option pricing with path-dependent volatility: A closed-form approach
Strategic option pricing
Relativistic option pricing
Strategic option pricing
Fractional Brownian motion in crowded fluids
Generating Diffusions with Fractional Brownian Motion
Soliton wave profiles and dynamical analysis of fractional Ivancevic option pricing model
Risk preference based option pricing in a fractional Brownian market
Option pricing in fractional Brownian markets
Exotic Option Pricing in Stochastic Volatility Levy Models and with Fractional Brownian Motion
The multinomial option pricing model and its Brownian and poisson limits
Dimensions of Fractional Brownian Images
Preference-free option pricing with path-dependent volatility: A closed-form approach
Strategic option pricing
Relativistic option pricing
Strategic option pricing
Fractional Brownian motion in crowded fluids
Generating Diffusions with Fractional Brownian Motion