From Dynamic Linear Evaluation Rule to Dynamic CAPM in a Fractional Brownian Motion Environment
نویسندگان
چکیده
منابع مشابه
From Dynamic Linear Evaluation Rule to Dynamic CAPM in a Fractional Brownian Motion Environment
In this paper, we present the fundamental framework of the evaluation problem under which the evaluation operator satisfying some axioms is linear. Based on the dynamic linear evaluation mechanism of contingent claims, studying this evaluation rule in the market driven by fractional Brownian motions has led to a dynamic capital asset pricing model. It is deduced here mainly with the fractional ...
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ژورنال
عنوان ژورنال: Journal of Mathematical Finance
سال: 2012
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2012.24034