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Volatility Estimation and Option Pricing with Fractional Brownian Motion

  • Fajardo, J.
  • Cajueiro, D. O.

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Paper provided by Finance Lab, Insper Instituto de Ensino e Pesquisa in its series Finance Lab Working Papers with number flwp_53.

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Date of creation: Oct 2003
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Handle: RePEc:ibm:finlab:flwp_53
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  1. 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).
  2. 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.
  3. Pedro L. Valls Pereira & Hotta, L.K. & Souza, L.A.R., 1999. "Alternative Models to extract asset volatility: a comparative study," Finance Lab Working Papers flwp_14, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  4. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  5. José Fajardo & Aquiles Farias, 2002. "Generalized Hyperbolic Distributions and Brazilian Data," Working Papers Series 52, Central Bank of Brazil, Research Department.
  6. 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.
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