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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tübinger Diskussionsbeiträge ; No. 299
- Klassifikation
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
Fractional Brownian motion
Conditional expectation
Risk preference based option pricing
Fractional option pricing
Fractional Greeks
Optionspreistheorie
Risikopräferenz
Stochastischer Prozess
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Rostek, Stefan
Schöbel, Rainer
- Ereignis
-
Veröffentlichung
- (wer)
-
Eberhard Karls Universität Tübingen, Wirtschaftswissenschaftliche Fakultät
- (wo)
-
Tübingen
- (wann)
-
2006
- Handle
- URN
-
urn:nbn:de:bsz:21-opus-21835
- Letzte Aktualisierung
- 10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Rostek, Stefan
- Schöbel, Rainer
- Eberhard Karls Universität Tübingen, Wirtschaftswissenschaftliche Fakultät
Entstanden
- 2006
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