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
Spread options, exchange options, and arithmetic Brownian motion
โ Scribed by Poitras, Geoffrey
- Publisher
- John Wiley and Sons
- Year
- 1998
- Tongue
- English
- Weight
- 263 KB
- Volume
- 18
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
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