International Journal of Management and Applied Science (IJMAS)
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Volume-5,Issue-7  ( Jul, 2019 )
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Statistics report
Sep. 2019
Submitted Papers : 80
Accepted Papers : 10
Rejected Papers : 70
Acc. Perc : 12%
Issue Published : 65
Paper Published : 4063
No. of Authors : 8344
  Journal Paper




Paper Title :
R/S Analysis and Option Pricing: Application to World Most Important Stock Indices

Author :Luigi Azeri, Vincenzo Merella, Beatrice Venturi

Article Citation :Luigi Azeri ,Vincenzo Merella ,Beatrice Venturi , (2018 ) " R/S Analysis and Option Pricing: Application to World Most Important Stock Indices " , International Journal of Management and Applied Science (IJMAS) , pp. 104-106, Volume-4,Issue-2

Abstract : In order to develop new and more efficient predictive modelsin the World Stock Markets, in this paper we consideran option pricing mechanism related to the LRD (the Long Range Dependence) analysis.Following Morimoto (2016), who analyzed the intraday returns of the Tokyo Stock Exchange, and Skaperda (2013),in conflict with the dominant theories, related to the assumption of market efficiency, we focuses in a new form of option pricing based on the LRD.Some numerical results are given. Keywords: The Long Range Dependence, Option Pricing.

Type : Research paper


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