Publish In |
International Journal of Management and Applied Science (IJMAS)-IJMAS |
Journal Home Volume Issue |
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Issue |
Volume-4,Issue-2 ( Feb, 2018 ) | |||||||||
Paper Title |
R/S Analysis and Option Pricing: Application to World Most Important Stock Indices | |||||||||
Author Name |
Luigi Azeri, Vincenzo Merella, Beatrice Venturi | |||||||||
Affilition |
Department of Economic and Business Cagliari, Italy | |||||||||
Pages |
104-106 | |||||||||
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. Keywords: The Long Range Dependence, Option Pricing. | |||||||||
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