Option pricing with respect to the fractional Brownian motion and portfolio selection according to [alpha]-stable distribution

Manzo, Gerardo (A.A. 2008/2009) Option pricing with respect to the fractional Brownian motion and portfolio selection according to [alpha]-stable distribution. Tesi di Laurea in Matematica finanziaria (corso progredito), LUISS Guido Carli, relatore Gennaro Olivieri, pp. 171. [Master's Degree Thesis]

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Abstract/Index

The Edifice of Modern Finance. Fractal Geometry: Fascinating Chapter. Market Turbolence: Discontinuity and Scaling. Fractional Brownian Motion, Long-Run Dependence. Portfolio Selection for Strong Fluctuatin Assets. Option Pricing with Respect to Fractional Brownian Motion.

References

Bibliografia e sitografia: pp. 163-171.

Thesis Type: Master's Degree Thesis
Institution: LUISS Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (64/S)
Chair: Matematica finanziaria (corso progredito)
Thesis Supervisor: Olivieri, Gennaro
Thesis Co-Supervisor: Gozzi, Fausto
Academic Year: 2008/2009
Session: Extraordinary
Deposited by: Maria Teresa Nistico
Date Deposited: 30 Aug 2011 17:10
Last Modified: 19 May 2015 22:56
URI: http://tesi.eprints.luiss.it/id/eprint/5949

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