Pricing Derivatives in Hermite Markets
Mathematical Finance
2016-12-28 v2
Abstract
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.
Cite
@article{arxiv.1612.07016,
title = {Pricing Derivatives in Hermite Markets},
author = {Svetlozar T. Rachev and Stefan Mittnik and Frank J. Fabozzi},
journal= {arXiv preprint arXiv:1612.07016},
year = {2016}
}