PRICING DERIVATIVES IN HERMITE MARKETS

DOI10.1142/S0219024919500316zbMath1426.91279arXiv1709.09068MaRDI 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 motion; no-arbitrage; Hermite processes; Rosenblatt processes; arbitrage tax; perpetual derivatives

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

91G20: Derivative securities (option pricing, hedging, etc.)

91G10: Portfolio theory

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

Related Items

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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