Quantcast
Channel: MoneyScience: All site news items
Viewing all articles
Browse latest Browse all 4065

Pricing Derivatives in Hermite Markets. (arXiv:1612.07016v1 [q-fin.MF])

$
0
0

We introduce Hermite fractional financial markets, where market uncertainties are described by multidimensional Hermite motions. Hermite markets include as particular cases financial markets driven by multivariate fractional Brownian motion and multivariate Rosenblatt motion. Conditions for no-arbitrage and market completeness for Hermite markets are derived. Perpetual derivatives, bonds forwards, and futures are priced. The corresponding partial and partial-differential equations are derived.


Viewing all articles
Browse latest Browse all 4065

Trending Articles