Analytically tractable stochastic stock price models
Archil Gulisashvili
| Year of publication: |
2012
|
|---|---|
| Authors: | Gulisashvili, Archil |
| Publisher: |
Berlin : Springer |
| Subject: | Börsenkurs | Share price | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory | Kapitalmarkttheorie | Financial economics | Theorie | Theory | Aktienkurs | Optionspreis | Dichte <Stochastik> | Stochastisches Modell |
| Description of contents: | Table of Contents [gbv.de] ; Description [deposit.dnb.de] ; Description [loc.gov] ; Description [loc.gov] ; Description [swbplus.bsz-bw.de] ; Description [zbmath.org] |
| Extent: | XVII, 359 S graph. Darst. 24 cm |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Lehrbuch ; Textbook |
| Language: | English |
| Notes: | Volatility Processes -- Stock Price Models with Stochastic Volatility -- Realized Volatility and Mixing Distributions -- Integral Transforms of Distribution Densities -- Asymptotic Analysis of Mixing Distributions -- Asymptotic Analysis of Stock Price Distributions -- Regularly Varying Functions and Pareto-Type Distributions -- Asymptotic Analysis of Option Pricing Functions -- Asymptotic Analysis of Implied Volatility -- More Formulas for Implied Volatility -- Implied Volatility in Models Without Moment Explosions. |
| ISBN: | 3-642-31213-6 ; 978-3-642-31213-7 ; 978-3-642-43386-3 ; 978-3-642-31214-4 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009623216