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Volatility Estimation and Option Pricing with Fractional Brownian Motion

Author

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  • Fajardo, J.
  • Cajueiro, D. O.

Abstract

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Suggested Citation

  • Fajardo, J. & Cajueiro, D. O., 2003. "Volatility Estimation and Option Pricing with Fractional Brownian Motion," Finance Lab Working Papers flwp_53, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  • Handle: RePEc:ibm:finlab:flwp_53
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    File URL: http://www.ibmecsp.edu.br/pesquisa/download.php?recid=2665
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    References listed on IDEAS

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    1. 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.
    2. Issler, João Victor, 1999. "Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version)," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 347, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    3. repec:sbe:breart:v:19:y:1999:i:1:a:2793 is not listed on IDEAS
    4. Fajardo, José & Farias, Aquiles, 2004. "Generalized Hyperbolic Distributions and Brazilian Data," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 24(2), November.
    5. Pereira, Pedro L. Valls & Hotta, Luiz K. & Souza, Luiz Alvares R. de & Almeida, Nuno Miguel C. G. de, 1999. "Alternative Models To Extract Asset Volatility: A Comparative Study," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 19(1), May.
    6. 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 637-654, May-June.
    7. repec:sbe:breart:v:19:y:1999:i:1:a:2792 is not listed on IDEAS
    8. repec:sbe:breart:v:21:y:2001:i:2:a:2752 is not listed on IDEAS
    9. repec:sbe:breart:v:19:y:1999:i:1:a:2794 is not listed on IDEAS
    10. 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.
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    Cited by:

    1. 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;Japanese Association of Financial Economics and Engineering, vol. 17(2), pages 99-111, June.

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