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

Arzedi, Luigi

;Merella, Vincenzo

;Venturi, Beatrice

2017-01-01

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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.