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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...
| Cote: | Libro Electrónico |
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| Auteur principal: | |
| Autres auteurs: | |
| Format: | Électronique eBook |
| Langue: | Inglés |
| Publié: |
Singapore ; River Edge, NJ :
World Scientific,
2002.
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| Collection: | Advanced series on statistical science & applied probability ;
v. 9. |
| Sujets: | |
| Accès en ligne: | Texto completo |
| Résumé: | 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. |
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| Description matérielle: | 1 online resource (xxi, 398 pages) : illustrations |
| Bibliographie: | Includes bibliographical references (pages 385-392) and index. |
| ISBN: | 9789812777485 9812777482 9789810249441 9810249446 |