On polynomial extension of t-distribution and its financial applications
Hao Li and Alexander Melnikov
| Year of publication: |
2013
|
|---|---|
| Authors: | Li, Hao ; Melnikov, Alexander |
| Published in: |
Risk and decision analysis. - Amsterdam : IOS Press, ISSN 1569-7371, ZDB-ID 2512630-1. - Vol. 4.2013, 4, p. 255-266
|
| Subject: | t-distribution | orthogonal polynomial | fat-tail distribution | S&P 500 | Romanovski polynomial | options pricing | VaR | CVaR | maximum likelihood | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010475799