Autoregressive trending risk function and exhaustion in random asset price movement

DOI10.1111/J.1467-9892.2010.00678.XMaRDI QIDQ3103201zbMATH OpenOpenAlexFDO

Authors

Publication date 26 November 2011

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2010.00678.x

zbMATH Keywords

option pricingasset price movementexhaustion points

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Pricing Risky Options Simply
• The risk of Black-Scholes option pricing
• Simple entropic derivation of a generalized Black-Scholes option pricing model
• The Statistical Properties of the Black–Scholes Option Price
• The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes

Cites work

• An Introduction to Financial Option Valuation
• The Mathematics of Financial Derivatives

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