Volatility Estimation and Option Pricing with Fractional Brownian Motion
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Bibliographic InfoPaper provided by Finance Lab, Insper Instituto de Ensino e Pesquisa in its series Finance Lab Working Papers with number flwp_53.
Date of creation: Oct 2003
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-20 (All new papers)
- NEP-ETS-2003-10-20 (Econometric Time Series)
- NEP-FIN-2003-10-20 (Finance)
- NEP-FMK-2003-10-20 (Financial Markets)
- NEP-RMG-2003-10-20 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Cipian Necula, 2008. "Option Pricing in a Fractional Brownian Motion Environment," Advances in Economic and Financial Research - DOFIN Working Paper Series 2, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
- Fajardo, J. & Farias, A., 2003.
"Generalized Hyperbolic Distributions and Brazilian Data,"
Finance Lab Working Papers
flwp_57, Finance Lab, Insper Instituto de Ensino e Pesquisa.
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- Issler, João Victor, 1999. "Estimating and Forecasting the Volatility of Brazilian Finance Series Using Arch Models (Preliminary Version)," Economics Working Papers (Ensaios Economicos da EPGE) 347, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Andrade, R.F.S & Cajueiro, D.O & Ferreira, C.S, 2001. "Fractal characterization of the distribution of reactive sites over a rough catalyst surface," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 295(3), pages 323-332.
- Li Meng & Mei Wang, 2010. "Comparison of Black–Scholes Formula with Fractional Black–Scholes Formula in the Foreign Exchange Option Market with Changing Volatility," Asia-Pacific Financial Markets, Springer, vol. 17(2), pages 99-111, June.
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