Fat tails and colored noise in financial derivatives

Physica A: Statistical Mechanics and its Applications

Volumn 314, Issue 1-4, 2002, Pages 736-742

  Perelló, Josep ^a   Masoliver, Jaume ^a  

^a UNIVERSITY OF BARCELONA   (Spain)

Author keywords

Correlated stocks; Heavy tails; Martingale option pricing method

Indexed keywords

BROWNIAN MOVEMENT; CORRELATION METHODS; COSTS;

STOCK MARKETS;

FINANCE;

EID: 0036954537     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)01151-2     Document Type: Conference Paper

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