Non-gaussian merton-black-scholes theory
Auteur :
Levendorskii, Sergei
Éditeur :
Levendorskii, SergeiBoyarchenko, Svetlana I.,
ISBN :
9789810249441
Date de publication :
24 avr. 2002
Dimensions :
23,0 x 16,2 x 2,6 cm
Poids :
830 g
Langue :
Anglais
Pays d'origine :
Singapour
This text introduces a computationally effective class of non-Gaussian models for shocks (regular Levy 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.