Statistical properties of derivatives: A journey in term structures

Physica A: Statistical Mechanics and its Applications

Volumn 390, Issue 11, 2011, Pages 2009-2019

  Lautier, Delphine ^a,b   Raynaud, Franck ^a  

^a UNIVERSITÉ PARIS DAUPHINE   (France)

^b CREST   (France)

Author keywords

Derivatives; Econophysics; Tail exponents; Term structures

Indexed keywords

COMMERCE; DERIVATIVES; PROBABILITY DISTRIBUTIONS;

ECONOPHYSICSS; EMPIRICAL STUDIES; FUTURES CONTRACT; SAMUELSON EFFECT; SCALING BEHAVIOR; STATISTICAL PROPERTIES; TAIL EXPONENTS; TERM STRUCTURE;

FINANCIAL MARKETS;

EID: 79953303177     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2011.01.018     Document Type: Article

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