Risk preference based option pricing in a fractional Brownian market
Year of publication: |
2006
|
---|---|
Authors: | Rostek, Stefan ; Schöbel, Rainer |
Institutions: | Wirtschaftswissenschaftlichen Fakultät, Eberhard-Karls-Universität Tübingen |
Subject: | Fractional Brownian motion | Conditional expectation | Risk preference based option pricing | Fractional option pricing | Fractional Greeks |
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