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A note on Wick products and the fractional Black-Scholes model
Björk, Tomas; Hult, Henrik - 2005
In some recent papers, such as Elliott & van der Hoek, Hu & Öksendal, a fractional Black-Scholes model have been proposed as an improvement of the classical Black-Scholes model. Common to these fractional Black-Scholes models, is that the driving Brownian motion is replaced by a fractional...
Persistent link: https://www.econbiz.de/10010281205
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On the use of numeraires in option pricing
Benninga, Simon; Björk, Tomas; Wiener, Zvi - 2001
In this paper we discuss the significant computational simplification that occurs when option pricing is approached … additional option pricing problems within the framework of a change of numeraire: 1. Pricing savings plans which incorporate a …
Persistent link: https://www.econbiz.de/10010281218
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On the Use of Numeraires in Option pricing
Benninga, Simon; Björk, Tomas; Wiener, Zvi - Economics Institute for Research (SIR), … - 2002
In this paper we discuss the significant computational simplification that occurs when option pricing is approached … additional option pricing problems within the framework of a change of numeraire: <p> 1. Pricing savings plans which incorporate …
Persistent link: https://www.econbiz.de/10005423785
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A Note on Wick Products and the Fractional Black-Scholes Model
Björk, Tomas; Hult, Henrik - Economics Institute for Research (SIR), … - 2005
In some recent papers, such as Elliott & van der Hoek, Hu & Öksendal, a fractional Black-Scholes model have been proposed as an improvement of the classical Black-Scholes model. Common to these fractional Black-Scholes models, is that the driving Brownian motion is replaced by a fractional...
Persistent link: https://www.econbiz.de/10005649515