The effect of non-ideal market conditions on option pricing (Q1598567)

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The effect of non-ideal market conditions on option pricing
scientific article

    Statements

    title
    The effect of non-ideal market conditions on option pricing (English)
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    author
    Josep Perelló
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    Jaume Masoliver
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    published in
    Physica A
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    publication date
    23 May 2002
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    zbMATH Keywords
    geometric Brownian motion
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    heavy tails
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    colored noise
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91B70
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    91B80
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    zbMATH DE Number
    1745094
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    arXiv ID
    cond-mat/0112033
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