PRICING DERIVATIVES IN HERMITE MARKETS

DOI10.1142/S0219024919500316zbMath1426.91279arXiv1709.09068OpenAlexW2971483391MaRDI QIDQ5242955

Frank J. Fabozzi, Stoyan V. Stoyanov, Stefan Mittnik, Svetlozar T. Rachev

Publication date: 8 November 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.09068

zbMATH Keywords

fractional Brownian motionno-arbitrageHermite processesRosenblatt processesarbitrage taxperpetual derivatives

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

Nonparametric estimates of option prices via Hermite basis functions ⋮ Fractal dimensions of the Rosenblatt process ⋮ Functional limit theorems for power series with rapid decay of moving averages of Hermite processes

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