On polynomial extension of t-distribution and its financial applications

DOI10.3233/RDA-130093zbMath1409.91241OpenAlexW344045198MaRDI QIDQ3119620

Hao Li, Alexander V. Melnikov

Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-130093

zbMATH Keywords

maximum likelihoodorthogonal polynomialCVaRVaR\(t\)-distributionoptions pricingfat-tail distributionS\&P 500Romanovski polynomial

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Polynomial extensions of distributions and their applications in actuarial and financial modeling

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