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

ARZEDI, LUIGI ROBERTO;MERELLA, VINCENZO;Venturi, Beatrice

2018-01-01

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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.