Analytically tractable stochastic stock price models
Asymptotic analysis of stochastic stock price models is the central topic of the present volume. Special examples of such models are stochastic volatility models, that have been developed as an answer to certain imperfections in a celebrated Black-Scholes model of option pricing. In a stock price mo...
Shranjeno v:
| Glavni avtor: | |
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| Format: | Livre numérique |
| Jezik: | Anglais |
| Izdano: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
2012.
Cham : Springer Nature |
| Serija: | Springer Finance
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| Teme: | |
| Online dostop: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Sporočilo: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Analytically tractable stochastic stock price models, by Archil Gulisashvili, Berlin, Springer, 2012, 1 vol. (XVII-359 p.), Springer Finance, 978-3-642-31213-7 |
Kazalo:
- Preface Aknowledgements 1.Volatility Processes 2.Stock Price Models with Stochastic Volatility 3.Realized Volatility and Mixing Distributions 4.Integral Transforms of Distribution Densities 5.Asymptotic Analysis of Mixing Distributions 6.Asymptotic Analysis of Stock Price Distributions 7.Regularly Varying Functions and Pareto Type Distributions 8.Asymptotic Analysis of Option Pricing Functions 9.Asymptotic Analysis of Implied Volatility 10.More Formulas for Implied Volatility 11.Implied Volatility in Models Without Moment Explosions Bibliography Index