This paper aims at supplying a decision support system tool to investors having options written on an underlying asset driven by a fractional Brownian motion (fBm).
Options with underlying asset driven by a fractional brownian motion: crossing barriers estimates / Cerqueti, R.; Rotundo, G. - CD-ROM. - 1-3:(2005), pp. 1072-1074. ( Fourth International Workshop on Computational Intelligence in Economics and Finance” (CIEF'2005), hold into the framework of the “Eighth Joint Conference on Information Sciences” (JCIS 2005) Salt Lake City, USA ).
Options with underlying asset driven by a fractional brownian motion: crossing barriers estimates
R. CERQUETI
Methodology
;ROTUNDO GInvestigation
2005
Abstract
This paper aims at supplying a decision support system tool to investors having options written on an underlying asset driven by a fractional Brownian motion (fBm).File allegati a questo prodotto
| File | Dimensione | Formato | |
|---|---|---|---|
|
2005 Cerqueti Rotundo Options CIEF256.pdf
solo gestori archivio
Tipologia:
Versione editoriale (versione pubblicata con il layout dell'editore)
Licenza:
Tutti i diritti riservati (All rights reserved)
Dimensione
140.5 kB
Formato
Adobe PDF
|
140.5 kB | Adobe PDF | Contatta l'autore |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
