scientific article; zbMATH DE number 549090

zbMath0803.90013MaRDI QIDQ4286901

Gennady Samorodnitsky, Svetlozar T. Rachev

Publication date: 3 January 1995

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

non-normality of the price changesoption price formulae

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Stable distributions and the term structure of interest rates ⋮ Discrete time parametric models with long memory and infinite variance ⋮ Maximum likelihood estimation of stable Paretian models. ⋮ Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence

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