Financial modeling and option theory with the truncated Lévy process
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References listed on IDEAS
- Akgiray, Vedat & Booth, G Geoffrey, 1988. "The Stable-Law Model of Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(1), pages 51-57, January.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lehnert, Thorsten & Wolff, Christian C, 2001. "Modelling Scale-Consistent VaR with the Truncated Lévy Flight," CEPR Discussion Papers 2711, C.E.P.R. Discussion Papers.
- Skjeltorp, Johannes A, 2000. "Scaling in the Norwegian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 486-528.
- Adam Misiorek & Rafal Weron, 2010. "Heavy-tailed distributions in VaR calculations," HSC Research Reports HSC/10/05, Hugo Steinhaus Center, Wroclaw University of Technology.
- Sergei Levendorskii, 2004. "The American put and European options near expiry, under Levy processes," Papers cond-mat/0404103, arXiv.org.
- Stanley, H.E & Amaral, L.A.N & Canning, D & Gopikrishnan, P & Lee, Y & Liu, Y, 1999. "Econophysics: Can physicists contribute to the science of economics?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 269(1), pages 156-169.
- Szymon Borak & Adam Misiorek & RafaÅ‚ Weron, 2010.
"Models for Heavy-tailed Asset Returns,"
SFB 649 Discussion Papers
SFB649DP2010-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010. "Models for Heavy-tailed Asset Returns," MPRA Paper 25494, University Library of Munich, Germany.
- Szymon Borak & Adam Misiorek & Rafal Weron, 2010. "Models for Heavy-tailed Asset Returns," HSC Research Reports HSC/10/01, Hugo Steinhaus Center, Wroclaw University of Technology.
- Weron, Rafał, 2004. "Computationally intensive Value at Risk calculations," Papers 2004,32, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
- Alvaro Cartea, 2005. "Dynamic Hedging of Financial Instruments When the Underlying Follows a Non-Gaussian Process," Birkbeck Working Papers in Economics and Finance 0508, Birkbeck, Department of Economics, Mathematics & Statistics.
More about this item
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-02-13 (All new papers)
- NEP-CFN-2005-02-13 (Corporate Finance)
- NEP-FIN-2005-02-13 (Finance)
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