Stable paretian models in finance
Auteur :
Rachev, Svetlozar T. / Mittnik, Stefan
Éditeur :
John Wiley & Sons Inc
ISBN :
9780471953142
Date de publication :
25 avr. 2000
Dimensions :
23,4 x 16,3 x 5,1 cm
Poids :
1332 g
Langue :
Anglais
Pays d'origine :
USA
The authors reconsider the problem of parametrically specifying distribution suitable for asset--return models. They describe alternative distributions, showing how they can be estimated and applied to stock--index and exchange--rate data. The implications for options pricing are also investigated.