Stable Paretian Models in Finance |
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| Author:
| Rachev, Svetlozar T.
Mittnik, Stefan |
| Series title: | Financial Economics and Quantitative Analysis Ser. |
| ISBN: | 978-0-471-95314-2 |
| Publication Date: | Jun 2000 |
| Publisher: | John Wiley & Sons, Incorporated
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| Book Format: | Hardback |
| List Price: | USD $206.00 |
Book Description:
|
The authors reconsider the problem of parametrically specifying distribution suitable for asset-return models. They describe alternative distributions, showing how they can be estimated and applied to stock-index and exchange-rate data. The implications for options pricing are also investigated.
The authors reconsider the problem of parametrically specifying distribution suitable for asset-return models. They describe alternative distributions, showing how they can be estimated and applied to stock-index and exchange-rate data. The implications for options pricing are also investigated.