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http://hdl.handle.net/10419/40337
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| Title: | | Risk preference based option pricing in a fractional Brownian market  |
| 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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