| 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.identifier.uri |
http://nbn-resolving.org/urn:nbn:de:bsz:21-dspace-474714 |
de_DE |
| dc.identifier.uri |
http://nbn-resolving.org/urn:nbn:de:bsz:21-dspace-474713 |
de_DE |
| 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 |
|
