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Analytically Tractable Stochastic Stock Price Models

Analytically Tractable Stochastic Stock Price Models

Hardcover

Series: Springer Finance

General MathematicsProbability & Statistics

ISBN10: 3642312136
ISBN13: 9783642312137
Publisher: Springer Nature
Published: Sep 5 2012
Pages: 362
Weight: 1.40
Height: 1.00 Width: 6.10 Depth: 9.20
Language: English
Preface.- Aknowledgements.- 1.Volatility Processes.- 2.Stock Price Models with Stochastic Volatility.- 3.Realized Volatility and Mixing Distributions.- 4.Integral Transforms of Distribution Densities.- 5.Asymptotic Analysis of Mixing Distributions.- 6.Asymptotic Analysis of Stock Price Distributions.- 7.Regularly Varying Functions and Pareto Type Distributions.- 8.Asymptotic Analysis of Option Pricing Functions.- 9.Asymptotic Analysis of Implied Volatility.- 10.More Formulas for Implied Volatility.- 11.Implied Volatility in Models Without Moment Explosions.- Bibliography.- Index​.

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