Option Pricing in Fractional Brownian Markets

Stefan Rostek ()
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Stefan Rostek: Universität Tübingen

in Lecture Notes in Economics and Mathematical Systems from Springer, currently edited by Gunter Fandel and Walter Trockel

Date: 2009
ISBN: 978-3-642-00331-8
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Chapters in this book:

Ch 1 Introduction

Stefan Rostek

Ch 2 Fractional Integration Calculus

Stefan Rostek

Ch 3 Fractional Binomial Trees

Stefan Rostek

Ch 4 Characteristics of the Fractional Brownian Market:Arbitrage and Its Exclusion

Stefan Rostek

Ch 5 Risk Preference Based Option Pricing in a Continuous Time Fractional Brownian Market

Stefan Rostek

Ch 6 Risk Preference Based Option Pricing in the Fractional Binomial Setting

Stefan Rostek

Ch 7 Conclusion

Stefan Rostek

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DOI: 10.1007/978-3-642-00331-8

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