Option pricing for non-Gaussian price fluctuations

Physica A: Statistical Mechanics and its Applications

Volumn 338, Issue 1-2 SPEC. ISS., 2004, Pages 151-159

  Kleinert, Hagen ^a  

^a FREIE UNIVERSITÄT BERLIN   (Germany)

Author keywords

Non Gaussian fluctuations; Option pricing

Indexed keywords

CORRELATION METHODS; DIFFERENTIAL EQUATIONS; EXTRAPOLATION; FOURIER TRANSFORMS; HAMILTONIANS; PROBABILITY DISTRIBUTIONS;

GAUSSIAN DISTRIBUTION; NON-GAUSSIAN FLUCTUATIONS; OPTION PRICING; STOCHASTIC CALCULUS;

FINANCE;

EID: 2942555459     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.02.037     Document Type: Conference Paper

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