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Chapter 12: Conditionally Brownian and Lévy Processes. Stochastic Volatility Models
https://doi.org/10.1142/9789814678599_0012Cited by:0 (Source: Crossref)
Abstract:
The following sections are included:
From Black–Scholes Theory of Pricing of Derivatives to the Implied Volatility, Smile Effect and Stochastic Volatility Models
Generalized Inverse Gaussian Subordinator and Generalized Hyperbolic Lévy Motion: Two Methods of Construction, Sample Path Properties
Distributional and Sample-path Properties of the Lévy Processes L(𝔾IG) and L(𝔾H)
On Some Others Models of the Dynamics of Prices. Comparison of the Properties of Different Models
