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Selected infinitely divisible distributions as models for financial return data unconditional fit and option pricing
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The path-breaking work of Black and Scholes (1973) initiated the development of the modern option pricing theory. It is based on the so-called geometric Brownian motion as a model for the underlying price process. This process implies that the log returns - i. e. the difference of the logarithm of consecutive prices-follow a normal distribution features like skewness or heavy tails which cannot be captured by normal distribution.
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Selected infinitely divisible distributions as models for financial return data unconditional fit and option pricing, Matthias Fischer
- Jazyk
- Rok vydania
- 2002
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- Titul
- Selected infinitely divisible distributions as models for financial return data unconditional fit and option pricing
- Jazyk
- anglicky
- Autori
- Matthias Fischer
- Vydavateľ
- Pro Business
- Rok vydania
- 2002
- ISBN10
- 393452902X
- ISBN13
- 9783934529021
- Kategórie
- Skriptá a vysokoškolské učebnice
- Anotácia
- The path-breaking work of Black and Scholes (1973) initiated the development of the modern option pricing theory. It is based on the so-called geometric Brownian motion as a model for the underlying price process. This process implies that the log returns - i. e. the difference of the logarithm of consecutive prices-follow a normal distribution features like skewness or heavy tails which cannot be captured by normal distribution.