An empirical model of volatility of returns and option pricing
type: Item
instance of: scholarly article
title: An empirical model of volatility of returns and option pricing
zbMATH Open document ID: 1056.91024
DOI: 10.1016/S0378-4371(03)00589-2
author: Joseph L. McCauley
author: Gemunu H. Gunaratne
published in: Physica A
publication date: 2003-10-05T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 91B80
zbMATH DE Number: 1988112
zbMATH Keywords: financial market dynamics
zbMATH Keywords: fluctuation Fokker-Planck formulation
zbMATH Keywords: exponential asset-price distribution
MaRDI profile type: Publication
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cites work: Characterization of stationary distributions using conditional expectations
full work available at URL: s0378-4371(03)00589-2
OpenAlex ID: W2135983145
description: scientific article; zbMATH DE number 1988112