The generalized extreme value distribution, implied tail index, and option pricing

Journal of Derivatives

Volumn 18, Issue 3, 2011, Pages 35-60

  Markose, Sheri ^a   Alentorn, Amadeo ^a,b  

^a UNIVERSITY OF ESSEX   (United Kingdom)

^b Old Mutual plc   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 79951872432     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2011.18.3.035     Document Type: Article

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