A non-Gaussian option pricing model with skew (Q4610259): Difference between revisions

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+A non-Gaussian option pricing model with skew
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+MaRDI publication profile
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+W3123253747
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+A non-Gaussian option pricing model with skew (English)
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+cond-mat/0403022
@@ Property / arXiv ID: cond-mat/0403022 / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
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+Q4905685
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Stochastic Volatility for Lévy Processes
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+The skewed multifractal random walk with applications to option smiles
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+Multiple time scales in volatility and leverage correlations: a stochastic volatility model
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+A theory of non‐Gaussian option pricing
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+Theory of extended solutions for fast-diffusion equations in optimal classes of data. Radiation from singularities
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+Financial market dynamics
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+Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
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