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Volumn 7, Issue 5, 2007, Pages 563-573

On option pricing models in the presence of heavy tails

Author keywords

Contingent claim pricing; Heavy tailed distributions; Stochastic volatility

Indexed keywords


EID: 35148838426     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680601077967     Document Type: Article
Times cited : (22)

References (14)
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    • Borland, L.1    Bouchaud, J.P.2
  • 6
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    • A closed-form solution for options with stochastic volatility with applications to bond and currency options
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  • 9
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    • Complete models with stochastic volatility
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  • 10
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    • The pricing of options on asets with stochastic volatilities
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  • 13
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    • Option pricing when the variance changes randomly: Theory, estimation and an application
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  • 14
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    • Anomalous diffusion in the presence of external forces: Exact time-dependent solutions and their thermostatistical basis
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    • Tsallis, C.1    Bukman, D.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.