Analytically tractable stochastic stock price models / Archil Gulisashvili.
| Author/creator | Gulisashvili, Archil |
| Format | Electronic |
| Publication Info | Heidelberg : Springer, |
| Description | xvii, 359 pages ; 23 cm. |
| Supplemental Content | Full text available from Springer Books |
| Supplemental Content | Full text available from Springer Nature - Springer Mathematics and Statistics eBooks 2012 English International |
| Subjects |
| Series | Springer finance, 1616-0533 Springer finance. ^A415584 |
| Contents | Volatility Processes -- Stock Price Models with Stochastic Volatility -- Realized Volatility and Mixing Distributions -- Integral Transforms of Distribution Densities -- Asymptotic Analysis of Mixing Distributions -- Asymptotic Analysis of Stock Price Distributions -- Regularly Varying Functions and Pareto-Type Distributions -- Asymptotic Analysis of Option Pricing Functions -- Asymptotic Analysis of Implied Volatility -- More Formulas for Implied Volatility -- Implied Volatility in Models Without Moment Explosions. |
| Bibliography note | Includes bibliographical references (pages 347-356) and index. |
| Access restriction | Available only to authorized users. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| LCCN | 2012945072 |
| ISBN | 9783642312137 |
| ISBN | 3642312136 |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | ✔ Available |