Martingale option pricing

Physica A: Statistical Mechanics and its Applications

Volumn 380, Issue 1-2, 2007, Pages 351-356

  McCauley, J L ^a,b   Gunaratne, G H ^a,c   Bassler, K E ^a  

^a University of Houston   (United States)

^b JECairnes Graduate School of Business and Public Policy ^*  (Ireland)

^c INSTITUTE OF FUNDAMENTAL STUDIES   (Sri Lanka)

Author keywords

Black Scholes; Fat tails; Kolmogorov backward equation; Markov process; Martingales; Option pricing

Indexed keywords

GAUSSIAN DISTRIBUTION; MARKOV PROCESSES; MATHEMATICAL MODELS; OPTIMIZATION; RISK ASSESSMENT;

BLACK-SCHOLES; FAT TAILS; KOLMOGOROV BACKWARD EQUATION; MARTINGALES; OPTION PRICING; STOCK PRICES;

PARTIAL DIFFERENTIAL EQUATIONS;

EID: 34247862389     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.02.038     Document Type: Article

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