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
Published : Volume-4,Issue-2
DOIONLINE NO - IJMAS-IRAJ-DOIONLINE-11041
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Copyright: © Institute of Research and Journals
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Published on 2018-04-06 |
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