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Title:Risk preference based option pricing in a fractional Brownian market PDF Logo
Authors:Rostek, Stefan
Schöbel, Rainer
Issue Date:2006
Series/Report no.:Tübinger Diskussionsbeitrag 299
Abstract:We focus on a preference based approach when pricing options in a market driven by fractional Brownian motion. Within this framework we derive formulae for fractional European options using the traditional idea of conditional expectation. The obtained formulae - as well as further results - accord with classical Brownian theory and con?rm economic intuition towards fractional Brownian motion. Furthermore the in?uence of the Hurst parameter H on the price of a European option will be analyzed.
Subjects:Fractional Brownian motion
Conditional expectation
Risk preference based option pricing
Fractional option pricing
Fractional Greeks
JEL:G13
Persistent Identifier of the first edition:urn:nbn:de:bsz:21-opus-21835
Document Type:Working Paper
Appears in Collections:Tübinger Diskussionsbeiträge, Universität Tübingen

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