Fat tails and colored noise in financial derivatives

DOI10.1016/S0378-4371(02)01151-2zbMATH Open1001.91025OpenAlexW1986681684MaRDI QIDQ1850392FDOQ1850392

Authors: Josep Perelló, J. Masoliver 

Publication date: 3 December 2002

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

Full work available at URL: https://doi.org/10.1016/s0378-4371(02)01151-2

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zbMATH Keywords

correlationsprice

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Empirical properties of asset returns: stylized facts and statistical issues
• Martingales and stochastic integrals in the theory of continuous trading
• The effect of non-ideal market conditions on option pricing

Cited In (2)

• Option pricing and perfect hedging on correlated stocks
• Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems

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