PRICING DERIVATIVES IN HERMITE MARKETS
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Publication:5242955
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
fractional Brownian motionno-arbitrageHermite processesRosenblatt processesarbitrage taxperpetual derivatives
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
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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