Local prelimit theorems and their applications to finance

DOI10.1016/S0893-9659(00)00036-7zbMath0958.60024MaRDI QIDQ1585526

R. Smith

Publication date: 16 November 2000

Published in: Applied Mathematics Letters (Search for Journal in Brave)

zbMATH Keywords

prelimiting behavior of financial returnsstable and \(\nu\)-stable laws

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05)

Related Items (1)

Do financial returns have finite or infinite variance? A paradox and an explanation

Cites Work

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• Modeling asset returns with alternative stable distributions^*
• Mass transhipment problems and ideal metrics
• The Pareto-Levy Law and the Distribution of Income

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