$Option pricing in fractional brownian markets /$

Option pricing in fractional brownian markets /

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Bibliographic Details
Author / Creator:	Rostek, Stefan.
Imprint:	Berlin ; Heidelberg : Springer-Verlag, c2009.
Description:	1 online resource.
Language:	English
Series:	Lecture notes in economics and mathematical systems ; 622 Lecture notes in economics and mathematical systems ; 622.
Subject:	Brownian motion processes. Options (Finance) -- Prices -- Mathematical models. Brownian motion processes. Options (Finance) -- Prices -- Mathematical models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/8889517

Hidden Bibliographic Details
ISBN:	9783642003318 3642003311 9783642003301 3642003303
Notes:	Includes bibliographical references. Description based on print version record.
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.
Other form:	Print version: Rostek, Stefan. Option pricing in fractional Brownian markets. Heidelberg : Springer Verlag, c2009 9783642003301 3642003303