Volatility smile as relativistic effect (Q1620616)

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Volatility smile as relativistic effect
scientific article

    Statements

    title
    Volatility smile as relativistic effect (English)
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    author
    Zura Kakushadze
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    published in
    Physica A
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    publication date
    13 November 2018
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    zbMATH Keywords
    volatility smile
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    fat tails
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    probability distribution
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    relativistic
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    Brownian motion
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    tower law
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    Identifiers

    zbMATH DE Number
    6979145
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    OpenAlex ID
    W2523239985
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    arXiv ID
    1610.02456
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