On polynomial extension of t-distribution and its financial applications

DOI10.3233/RDA-130093zbMATH Open1409.91241OpenAlexW344045198MaRDI QIDQ3119620FDOQ3119620

Authors Hao Li, Alexander Melnikov

Publication date 12 March 2019

Published in Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3233/rda-130093

zbMATH Keywords

maximum likelihoodorthogonal polynomialCVaRVaR\(t\)-distributionoptions pricingfat-tail distributionS\&P 500Romanovski polynomial

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(4)

• Polynomial extensions of distributions and their applications in actuarial and financial modeling
• The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns
• An accurate, tractable, and analytically integrable polynomial expansion of the skewed Student's \(t\)-distribution
• Log Student's \(t\)-distribution-based option sensitivities: Greeks for the Gosset formulae

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