On option pricing models in the presence of heavy tails
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Publication:5433102
DOI10.1080/14697680601077967zbMath1151.91550OpenAlexW2172189704MaRDI QIDQ5433102
Hans Nieuwenhuis, Michel H. Vellekoop
Publication date: 19 December 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22093
Related Items (7)
Option pricing under deformed Gaussian distributions ⋮ Deformed exponentials and applications to finance ⋮ Pricing of financial derivatives based on the Tsallis statistical theory ⋮ Portfolio theory, information theory and Tsallis statistics ⋮ Investigation of non-Gaussian effects in the Brazilian option market ⋮ Exploring the dynamics of financial markets: from stock prices to strategy returns ⋮ Multiplicative noise, fast convolution and pricing
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