LIBROS DEL AUTOR: stefan rostek

1 resultados para LIBROS DEL AUTOR: stefan rostek

stefan rostek Eliminar filtro Quitar filtros
  • Option Pricing in Fractional Brownian Markets
    Stefan Rostek
    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 se...
    Disponible

    66,94 €