Non-Gaussian Merton-Black-Scholes theory /

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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...

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Boyarchenko, Svetlana I.
Other Authors: Levendorskiĭ, Serge, 1951-
Format: Electronic eBook
Language:Inglés
Published: Singapore ; River Edge, NJ : World Scientific, 2002.
Series:Advanced series on statistical science & applied probability ; v. 9.
Subjects:
Finance > Mathematical models.
Finances > Modèles mathématiques.
MATHEMATICS > Probability & Statistics > Stochastic Processes.
Finance > Mathematical models
Processos estocasticos.
Processos gaussianos.
Finanças (modelos matemáticos)
Finance.
Option (Finances)
Modèle mathématique.
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