An empirical model of volatility of returns and option pricing

DOI10.1016/S0378-4371(03)00589-2zbMath1056.91024OpenAlexW2135983145MaRDI QIDQ1409097

Gemunu H. Gunaratne, Joseph L. McCauley

Publication date: 5 October 2003

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

Full work available at URL: https://doi.org/10.1016/s0378-4371(03)00589-2

zbMATH Keywords

financial market dynamicsexponential asset-price distributionfluctuation Fokker-Planck formulation

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 (5)

Accounting for risk of non linear portfolios. A novel Fourier approach ⋮ Thermodynamic analogies in economics and finance: instability of markets ⋮ Scaling, correlations, and cascades in finance and turbulence ⋮ Variable step random walks and self-similar distributions ⋮ Multiplicative noise, fast convolution and pricing

Cites Work

• The Pricing of Options and Corporate Liabilities
• Elements for a theory of financial risks
• Characterization of stationary distributions using conditional expectations
• Pricing Risky Options Simply
• Introduction to Econophysics
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