Open AccessEuropean Option Pricing under Fractional Brownian Motion with an Application to Realized Volatility
Author(s) -
Takayuki Morimoto
Publication year - 2016
Publication title -
forma
Language(s) - English
Resource type - Journals
eISSN - 2189-1311
pISSN - 0911-6036
DOI - 10.5047/forma.2016.s005
Subject(s) - fractional brownian motion , volatility (finance) , brownian motion , valuation of options , economics , stochastic volatility , econometrics , financial economics , mathematics , statistics
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom