An Overview of Asset–Price Models

DOI10.1007/978-3-540-71297-8_17zbMath1178.91063OpenAlexW2194665990MaRDI QIDQ3646963

Peter J. Brockwell

Publication date: 27 November 2009

Published in: Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_17

zbMATH Keywords

Brownian motionoption pricingARCHGARCHLévy processARMACOGARCHBlack-Scholes-Merton

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

High-frequency analysis of parabolic stochastic PDEs

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