1 option
Stable Paretian models in finance / Svetlozar Rachev and Stefan Mittnik.
Lippincott Library HG4637 .R33 2000
Available
- Format:
- Book
- Author/Creator:
- Rachev, S. T. (Svetlozar Todorov)
- Series:
- Series in financial economics and quantitative analysis
- Language:
- English
- Subjects (All):
- Capital assets pricing model.
- Finance--Mathematical models.
- Finance.
- Investments--Mathematical models.
- Investments.
- Options (Finance).
- Local Subjects:
- Options (Finance).
- Capital assets pricing model.
- Physical Description:
- xviii, 855 pages : illustrations ; 24 cm.
- Place of Publication:
- Chichester ; New York : Wiley, [2000]
- Summary:
- The authors reconsider the problem of parametrically specifying distribution suitable for asset-return models. They describe alternative distributions, showing how they can be estimated and applied to stock-index and exchange-rate data. The implications for options pricing are also investigated.
- Notes:
- Includes bibliographical references (pages 745-827) and indexes.
- ISBN:
- 0471953148
- OCLC:
- 40980930
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