Option pricing under multifractional Brownian motion in a risk neutral framework
Fabrizio Di Sciorio, and Silvia Mattiozzi
| Year of publication: |
2020
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|---|---|
| Authors: | Di Sciorio, Fabrizio ; Mattiozzi, Silvia |
| Published in: |
Estudios de economía aplicada : revista promovida por Asepelt, Asociación de Economía Aplicada. - Madrid, ISSN 1133-3197, ZDB-ID 2508178-0. - Vol. 38.2020, 3, p. 273-283
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| Subject: | multi-fractional Brownian motion | European Call option | Hurst Index | Stylized Facts | risk neutral pricing | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Volatilität | Volatility | Risiko | Risk | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012618054