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 Nisticò |
| Date Deposited: | 30 Aug 2011 17:10 |
| Last Modified: | 20 Nov 2018 10:14 |
| URI: | https://tesi.luiss.it/id/eprint/5949 |
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