A non-Gaussian stock price model: Options, credit and a multi-timescale memory

Progress of Theoretical Physics Supplement

Volumn 162, Issue , 2006, Pages 155-164

  Borland, Lisa ^a  

^a Evnine Vaughan Associates Inc   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33747137006     PISSN: 03759687     EISSN: 13474081     Source Type: Journal    
DOI: 10.1143/PTPS.162.155     Document Type: Conference Paper

References (40)

1. F. Black and M. Scholes, Journal of Political Economy 81 (1973), 637.
2. R. C. Merton, Bell Journal of Economics and Management Science 4 (1973), 143.
3. B. Dupire, Risk 7 (1994), 18.
4. E. Derman and I. Kani, Risk 7 (1994), 32.
5. E. Eberlein, U. Keller and K. Prause, Journal of Business 71 (1998), 371.
6. S. I. Boyarchenko and S. Z. Levendorskii, Non-Gaussian Merton-Black-Scholes Theory (World Scientific, 2002).
7. R. Cont and P. Tankov, Financial Modelling with Jump Processes (CRC Press, 2004).
8. J.-P. Bouchaud and M. Potters, Theory of Financial Risks and Derivative Pricing, 2nd Edition (Cambridge University Press, Cambridge, 2004).
9. S. L. Heston, Rev. of Fin. Studies 6 (1993), 327.
10. J.-P. Fouque, G. Papanicolaou and K. R. Sircar, Derivatives in Financial Markets with Stochastic Volatility (Cambridge University Press, Cambridge, 2000).
11. P. Carr, H. Geman, D. Madan and M. Yor, Mathematical Finance 13 (2003), 345.
12. P. S. Hagan, D. Kumar, A. S. Lesniewski and D. E. Woodward, Managing Smile Risk (Wilmott, Sept. 2002), p. 84.
13. B. Pochart and J.-P. Bouchaud, Quantitative Finance 2 (2002), 303.
14. J. Perello, J. Masoliver and J.-P. Bouchaud, Applied Mathematical Finance 11 (2004), 1.
15. A. L. Alejandro-Quiñones, K. E. Bassler, M. Field, J. L. McCauley, M. Nicol, I. Timofryev, A. Torok and G. H. Gunaratne, cond-mat/0409375.
16. R. Jarrow and A. Rudd, Journal of Financial Economics 10 (1982), 347.
17. C. J. Corrado and T. Su, The Journal of Derivatives XIX (1997), 8.
18. M. Potters, R. Cont and J.-P. Bouchaud, Europhys. Lett. 41 (1998), 239.
19. L. Borland, Quantitative Finance 2 (2002), 415.
20. L. Borland, Phys. Rev. Lett. 89 (2002), 098701.
21. L. Borland and J. P. Bouchaud, Quantitative Finance 4 (2004), 499.
22. L. Borland, J. Evnine and B. Pochart, A Merton-Like Approach to Pricing Debt Based on a Non-Gaussian Asset Model, to appear (2005).
23. P. Gopikrishnan, V. Plerou, L. A. Nunes Amaral, M. Meyer and H. E. Stanley, Phys. Rev. E 60 (1999), 5305.
24. L. Borland, Phys. Rev. E 57 (1998), 6634.
25. C. Tsallis and D. J. Bukman, Phys. Rev. E 54 (1996), R2197.
26. C. Tsallis, J. Stat. Phys. 52 (1998), 479.
27. E. M. F. Curado and C. Tsallis, J. of Phys. A 24 (1991), L69;
28. J. of Phys. A ibid. 24 (1991), 3187;
29. J. of Phys. A ibid. 25 (1992), 1019.
30. E. Chasseigne and J. L. Vazquez, Archive Rat. Mech. Anal. 164 (2002), 133.
31. A. M. C. de Souza and C. Tsallis, Phyisca A 236 (1997), 52.
32. J.-P. Bouchaud, A. Matacz and M. Potters, Phys. Rev. Lett. 87 (2001), 228701.
33. J. C. Cox, unpublished working paper (1974).
34. J. C. Cox and S. A. Ross, Journal of Financial Economics 3 (1976), 145.
35. L. Borland, cond-mat/0412526.
36. L. Borland and J.-P. Bouchaud, physics/0507073.
37. R. C. Merton, Journal of Finance 29 (1974), 449.
38. G. Zumbach, Quantitative Finance 4 (2004), 70.
39. L. Borland, J. P. Bouchaud, J. F. Muzy and G. Zumbach, "The Dynamics of Financial Markets Mandelbrot's Cascades and Beyond", to appear in Wilmott Magazine, March 2005; cond-mat/0501292.
40. R. Osorio, L. Borland and C. Tsallis, "Distributions of High-Frequency Stock-Market Observables", in Nonextensive Entropy: Interdisciplinary Applications, ed. C. Tsallis and M. Gell-Mann (Oxford: Santa Fe Institute Studies in the Science of Complexity, 2003).