R/S analysis and option pricing: application to world most important stock indices

Arzedi, Luigi
;Merella, Vincenzo
;Venturi, Beatrice
2017-01-01

Abstract

In order to develop new and more efficient predictive models in the World Stock Markets, in this paper we consider an 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 focus in a new form of option pricing based on the LRD.Some numerical results are given.
2017
Inglese
Proceedings of ISER International Conference
9789387405189
IRAJ
Bhubaneswar, Odisha
INDIA
Khandagiri Dharma Vihar, et al.
Khandagiri Dharma Vihar
2
4
3
http://www.worldresearchlibrary.org/up_proc/pdf/1309-15185125842-4.pdf
ISER INTERNATIONAL SOCIETY FOR ENGINEERS AND RESEARCHERS
Contributo
Esperti anonimi
29-30 December 2017
Johannesburg , South Africa
internazionale
scientifica
The Long Range Dependence; Option Pricing
no
4 Contributo in Atti di Convegno (Proceeding)::4.1 Contributo in Atti di convegno
Arzedi, Luigi; Merella, Vincenzo; Venturi, Beatrice
273
3
4.1 Contributo in Atti di convegno
open
info:eu-repo/semantics/conferencePaper
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