The effect of non-ideal market conditions on option pricing

DOI10.1016/S0378-4371(02)00627-1zbMath0995.91019arXivcond-mat/0112033MaRDI QIDQ1598567

Josep Perelló, Jaume Masoliver

Publication date: 23 May 2002

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0112033

zbMATH Keywords

heavy tailscolored noisegeometric Brownian motion

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model ⋮ Fat tails and colored noise in financial derivatives

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Martingales and stochastic integrals in the theory of continuous trading
• FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• Brownian Motion in the Stock Market

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