Analytically Tractable Stochastic Stock Price Models

Asymptotic analysis of stochastic stock price models is the central topic of the present volume. Special examples of such models are stochastic volatility models, that have been developed as an answer to certain imperfections in a celebrated Black-Scholes model of option pricing. In a stock price mo...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Gulisashvili, Archil (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2012.
Edición:1st ed. 2012.
Colección:Springer Finance,
Temas:
Social sciences > Mathematics.
Mathematical analysis.
Probabilities.
Approximation theory.
Mathematics.
Mathematics in Business, Economics and Finance.
Analysis.
Probability Theory.
Approximations and Expansions.
Applications of Mathematics.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • Preface
  • Aknowledgements
  • 1.Volatility Processes
  • 2.Stock Price Models with Stochastic Volatility
  • 3.Realized Volatility and Mixing Distributions
  • 4.Integral Transforms of Distribution Densities
  • 5.Asymptotic Analysis of Mixing Distributions
  • 6.Asymptotic Analysis of Stock Price Distributions
  • 7.Regularly Varying Functions and Pareto Type Distributions
  • 8.Asymptotic Analysis of Option Pricing Functions
  • 9.Asymptotic Analysis of Implied Volatility
  • 10.More Formulas for Implied Volatility
  • 11.Implied Volatility in Models Without Moment Explosions
  • Bibliography
  • Index .

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