Non-Gaussian Merton-Black-Scholes Theory by Sergei Z. Levendorskii, Svetlana I. Boyarchenko

Non-Gaussian Merton-Black-Scholes Theory



Download Non-Gaussian Merton-Black-Scholes Theory




Non-Gaussian Merton-Black-Scholes Theory Sergei Z. Levendorskii, Svetlana I. Boyarchenko
Language: English
Page: 421
Format: djvu
ISBN: 9810249446, 9789810249441
Publisher: World Scientific Publishing Company

Introduces an analytically tractable and computationally effective class of non-Gaussian models for shocks and related analytical methods similar to the initial Merton-Black-Scholes approach.

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