Testing option pricing with the Edgeworth expansion

Physica A: Statistical Mechanics and its Applications

Volumn 344, Issue 3-4 SPEC. ISS., 2004, Pages 484-490

  Filho, Ruy Gabriel Balieiro ^a   Rosenfeld, Rogerio ^b  

^a Banco Itaú ^*  (Brazil)

^b SÃO PAULO STATE UNIVERSITY UNESP   (Brazil)

Author keywords

Non gaussian distribution; Option pricing

Indexed keywords

CONTRACTS; DIFFERENTIAL EQUATIONS; GRAPH THEORY; MATHEMATICAL MODELS; PROBABILITY DISTRIBUTIONS; THEOREM PROVING;

NON-GAUSSIAN DISTRIBUTION; OPTION PRICING; STOCK MARKETS;

INDUSTRIAL ECONOMICS;

EID: 6344219952     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.06.018     Document Type: Article

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