Risk preference based option pricing in a fractional Brownian market

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dc.contributor.author Rostek, Stefan de_DE
dc.contributor.author Schöbel, Rainer de_DE
dc.date.accessioned 2006-02-06 de_DE
dc.date.accessioned 2014-03-18T10:02:28Z
dc.date.available 2006-02-06 de_DE
dc.date.available 2014-03-18T10:02:28Z
dc.date.issued 2006 de_DE
dc.identifier.other 253532965 de_DE
dc.identifier.uri http://nbn-resolving.de/urn:nbn:de:bsz:21-opus-21835 de_DE
dc.identifier.uri http://hdl.handle.net/10900/47471
dc.description.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 confirm economic intuition towards fractional Brownian motion. Furthermore the influence of the Hurst parameter H on the price of a European option will be analyzed. en
dc.language.iso en de_DE
dc.publisher Universität Tübingen de_DE
dc.rights ubt-podno de_DE
dc.rights.uri http://tobias-lib.uni-tuebingen.de/doku/lic_ohne_pod.php?la=de de_DE
dc.rights.uri http://tobias-lib.uni-tuebingen.de/doku/lic_ohne_pod.php?la=en en
dc.subject.classification Brownsche Bewegung de_DE
dc.subject.ddc 330 de_DE
dc.subject.other Fractional Brownian motion , Conditional expectation , Risk preference based option pricing , Fractional option pricing , Fractional Greeks en
dc.title Risk preference based option pricing in a fractional Brownian market en
dc.type WorkingPaper de_DE
utue.publikation.fachbereich Wirtschaftswissenschaften de_DE
utue.publikation.fakultaet 6 Wirtschafts- und Sozialwissenschaftliche Fakultät de_DE
dcterms.DCMIType Text de_DE
utue.publikation.typ workingPaper de_DE
utue.opus.id 2183 de_DE
utue.opus.portal wiwidisk de_DE
utue.opus.portalzaehlung 299.00000 de_DE
utue.publikation.source Tübinger Diskussionsbeiträge der Wirtschaftswissenschaftlichen Fakultät ; 299 de_DE
utue.publikation.reihenname Tübinger Diskussionsbeitrag de_DE
utue.publikation.zsausgabe 299
utue.publikation.erstkatid 2136475-8


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