Volatility smile as relativistic effect

DOI10.1016/j.physa.2017.02.012zbMath1400.91399arXiv1610.02456OpenAlexW2523239985MaRDI QIDQ1620616

Zura Kakushadze

Publication date: 13 November 2018

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

Full work available at URL: https://arxiv.org/abs/1610.02456

zbMATH Keywords

Brownian motionprobability distributionvolatility smilefat tailsrelativistictower law

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Equations of motion in general relativity and gravitational theory (83C10)

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