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Perpetual American options with fractional Brownian motion

โœ Scribed by Elliott, Robert; Chan, Leunglung


Book ID
111896818
Publisher
Taylor and Francis Group
Year
2004
Tongue
English
Weight
443 KB
Volume
4
Category
Article
ISSN
1469-7688

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๐Ÿ“œ SIMILAR VOLUMES


Option pricing with regulated fractional
โœ Aldabe, F. ;Barone-Adesi, G. ;Elliott, R. J. ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 101 KB

Standard and fractional Brownian motions are known to be unsatisfactory models of asset prices. A new class of continuous-time stochastic processes, RFBM, is proposed to remedy some of the shortcomings of current models. RFBM lead to valuation formulas similar to Black}Scholes, but with volatility i