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Non-Gaussian Merton-Black-Scholes theory / Svetlana I. Boyarchenko, Sergei Z. Levendorskiĭ.
- Format:
- Book
- Author/Creator:
- Boyarchenko, Svetlana I.
- Series:
- Advanced series on statistical science & applied probability ; v. 9.
- Advanced series on statistical science & applied probability ; v.9
- Language:
- English
- Subjects (All):
- Finance--Mathematical models.
- Finance.
- Physical Description:
- xxi, 398 pages : illustrations ; 23 cm.
- Place of Publication:
- Singapore ; River Edge, NJ : World Scientific, [2002]
- Summary:
- introduces an analytically tractable and computationally effective class of non-Gaussian models for shocks (regular Levy processes of the exponential type) and related analytical methods similar to the initial Merton-Black-Scholes approach.
- Notes:
- Invcludes bibliographical references (pages 385-392) and index.
- ISBN:
- 9810249446 :
- OCLC:
- 50323695
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