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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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Gulisashvili, Archil (Author)
Corporate Author: SpringerLink (Online service)
Format: Electronic eBook
Language:Inglés
Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2012.
Edition:1st ed. 2012.
Series:Springer Finance,
Subjects:
Social sciences > Mathematics.
Mathematical analysis.
Probabilities.
Approximation theory.
Mathematics.
Mathematics in Business, Economics and Finance.
Analysis.
Probability Theory.
Approximations and Expansions.
Applications of Mathematics.
Online Access:Texto Completo
Table of Contents:
  • 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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