Fat tails and colored noise in financial derivatives

DOI10.1016/S0378-4371(02)01151-2zbMath1001.91025OpenAlexW1986681684MaRDI QIDQ1850392

Josep Perelló, Jaume Masoliver

Publication date: 3 December 2002

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(02)01151-2

zbMATH Keywords

pricecorrelations

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (2)

Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems ⋮ Option pricing and perfect hedging on correlated stocks

Cites Work

• Martingales and stochastic integrals in the theory of continuous trading
• The effect of non-ideal market conditions on option pricing
• Empirical properties of asset returns: stylized facts and statistical issues

This page was built for publication: Fat tails and colored noise in financial derivatives