Introduction -- Fractional Integration Calculus -- Fractional Binomial Trees -- Characteristics of the Fractional Brownian Market: Arbitrage and Its Exclusion -- Risk Preference Based Option Pricing in a Continuous Time Fractional Brownian Market -- Risk Preference Based Option Pricing in the Fractional Binomial Setting -- Conclusion
Summary
As the unrestricted fractional market setting allows for arbitrage, the conventional reasoning is that fractional Brownian motion does not qualify for modeling price process. This book points out that arbitrage can only be excluded in case that market prices move at least slightly faster than any market participant can react
Analysis
economie
economics
bedrijfswetenschap
management science
finance
bankwezen
banking sector
Management studies, Business Administration, Organizational Science (General)
