Fat tails and colored noise in financial derivatives

DOI10.1016/S0378-4371(02)01151-2MaRDI QIDQ1850392zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

correlationsprice

Mathematics Subject Classification ID

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

Recommendations

• The effect of non-ideal market conditions on option pricing
• Option pricing under deformed Gaussian distributions
• Option pricing with heavy-tailed distributions of logarithmic returns
• On the positive colored noise related to the option price from Black-Scholes equation

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

This page was built for publication: Fat tails and colored noise in financial derivatives

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1850392)