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. (Intervento presentato al convegno 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) tenutosi a 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
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2005 Cerqueti Rotundo Options CIEF256.pdf
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