Valuing options in shot noise market
DOI10.1016/J.PHYSA.2018.02.113zbMATH Open1498.91451OpenAlexW2790353037WikidataQ130170335 ScholiaQ130170335MaRDI QIDQ2149143FDOQ2149143
Authors: Nick Laskin 
Publication date: 28 June 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2018.02.113
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Cites Work
- The pricing of options and corporate liabilities
- Title not available (Why is that?)
- Explosive Poisson shot noise processes with applications to risk reserves
- Introduction to Econophysics
- Title not available (Why is that?)
- Option pricing when underlying stock returns are discontinuous
- Title not available (Why is that?)
- Mathematical Analysis of Random Noise
- Dynamics of Markets
- Technical Note—A Note on Shot-Noise and Reliability Modeling
- Title not available (Why is that?)
- Delay in claim settlement and ruin probability approximations
- Non-Gaussian diffusion
Cited In (3)
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