Financial modeling under non-Gaussian distributions.
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Publication:855067
zbMath1138.91002MaRDI QIDQ855067
Michael Rockinger, Eric Jondeau, Ser-Huang Poon
Publication date: 27 December 2006
Published in: Springer Finance (Search for Journal in Brave)
option pricingrisk neutral densitiesrisk managementGARCH modelBlack-Scholes-Merton modelderivative assetnon-normal returns
Economic time series analysis (91B84) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
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