Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/40337
Authors: 
Rostek, Stefan
Schöbel, Rainer
Year of Publication: 
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: 
Document Type: 
Working Paper

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