A non-Gaussian option pricing model with skew

DOI10.1080/14697680400008684zbMath1405.91588arXivcond-mat/0403022OpenAlexW3123253747MaRDI QIDQ4610259

Lisa Borland, Jean-Philippe Bouchaud

Publication date: 15 January 2019

Full work available at URL: https://arxiv.org/abs/cond-mat/0403022

zbMATH Keywords

option pricingEuropean call optionnon-Gaussian model

Mathematics Subject Classification ID

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

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Cites Work

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• A theory of non‐Gaussian option pricing
• Multiple time scales in volatility and leverage correlations: a stochastic volatility model
• Stochastic Volatility for Lévy Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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