Skip to main content
SpringerLink
Log in

Option Pricing in Fractional Brownian Markets

  • Book
  • © 2009

Overview

Authors:
  1. Stefan Rostek

    1. Fak. Wirtschaftswissenschaften, Universität Tübingen, Tübingen, Germany

    View author publications

    You can also search for this author in PubMed   Google Scholar

Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 622)

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 39.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 54.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (7 chapters)

  1. Front Matter

    Pages 1-10
    Download chapter PDF

  2. Introduction

    • Stefan Rostek
    Pages 1-4

  3. Fractional Integration Calculus

    • Stefan Rostek
    Pages 5-31

  4. Fractional Binomial Trees

    • Stefan Rostek
    Pages 33-55

  5. Characteristics of the Fractional Brownian Market:Arbitrage and Its Exclusion

    • Stefan Rostek
    Pages 57-78

  6. Risk Preference Based Option Pricing in a Continuous Time Fractional Brownian Market

    • Stefan Rostek
    Pages 79-110

  7. Risk Preference Based Option Pricing in the Fractional Binomial Setting

    • Stefan Rostek
    Pages 111-130

  8. Conclusion

    • Stefan Rostek
    Pages 131-134

  9. Back Matter

    Pages 135-137
    Download chapter PDF
Back to top

Keywords

About this book

Mandelbrot and van Ness (1968) suggested fractional Brownian motion as a parsimonious model for the dynamics of ?nancial price data, which allows for dependence between returns over time. Starting with Rogers(1997) there is an ongoing dispute on the proper usage of fractional Brownian motion in option pricing theory. Problems arise because fractional Brownian motion is not a semimartingale and therefore “no arbitrage pricing” cannot be applied. While this is consensus, the consequences are not as clear. The orthodox interpretation is simply that fractional Brownian motion is an inadequate candidate for a price process. However, as shown by Cheridito (2003) any theoretical arbitrage opportunities disappear by assuming that market p- ticipants cannot react instantaneously. This is the point of departure of Rostek’s dissertation. He contributes to this research in several respects: (i) He delivers a thorough introduction to fr- tional integration calculus and uses the binomial approximation of fractional Brownianmotion to give the reader a ?rst idea of this special market setting.

Authors and Affiliations

  • Fak. Wirtschaftswissenschaften, Universität Tübingen, Tübingen, Germany

    Stefan Rostek

Bibliographic Information

Publish with us

Policies and ethics

Back to top

Search

Navigation