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Non-Gaussian Merton-Black-Scholes theory /

This book introduces an analytically tractable and computationally effective class of non-Gaussian models for shocks (regular Lévy processes of the exponential type) and related analytical methods similar to the initial Merton-Black-Scholes approach, which the authors call the Merton-Black-Scholes...

Descripción completa

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Boyarchenko, Svetlana I.
Otros Autores: Levendorskiĭ, Serge, 1951-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Singapore ; River Edge, NJ : World Scientific, 2002.
Colección:Advanced series on statistical science & applied probability ; v. 9.
Temas:
Acceso en línea:Texto completo
Descripción
Sumario:This book introduces an analytically tractable and computationally effective class of non-Gaussian models for shocks (regular Lévy processes of the exponential type) and related analytical methods similar to the initial Merton-Black-Scholes approach, which the authors call the Merton-Black-Scholes theory. The authors have chosen applications interesting for financial engineers and specialists in financial economics, real options, and partial differential equations (especially pseudodifferential operators); specialists in stochastic processes will benefit from the use of the pseudodifferential.
Descripción Física:1 online resource (xxi, 398 pages) : illustrations
Bibliografía:Includes bibliographical references (pages 385-392) and index.
ISBN:9789812777485
9812777482
9789810249441
9810249446