This paper aims to analyze the problem of an investor that holds options where the underlying asset obeys a fractional brownian motion (fBM). The task is to give an estimate about the probability that the asset crosses barriers because this can drive investment policies.
Options with underlying asset driven by a fractional brownian motion: crossing barriers estimate
CERQUETI, ROY;
2010-01-01
Abstract
This paper aims to analyze the problem of an investor that holds options where the underlying asset obeys a fractional brownian motion (fBM). The task is to give an estimate about the probability that the asset crosses barriers because this can drive investment policies.File in questo prodotto:
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NMNC_0601_P109.pdf
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