Pricing Derivatives in Hermite Markets

Svetlozar T. Rachev, Stefan Mittnik and Frank Fabozzi ()

Papers from arXiv.org

Abstract: We introduce Hermite fractional financial markets, where market uncertainties are described by multidimensional Hermite motions. Hermite markets include as particular cases financial markets driven by multivariate fractional Brownian motion and multivariate Rosenblatt motion. Conditions for no-arbitrage and market completeness for Hermite markets are derived. Perpetual derivatives, bonds forwards, and futures are priced. The corresponding partial and partial-differential equations are derived.

Date: 2016-12, Revised 2016-12
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http://arxiv.org/pdf/1612.07016 Latest version (application/pdf)

Related works:
Working Paper: Pricing derivatives in Hermite markets (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1612.07016

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