Non-Gaussian Merton-Black-Scholes Theory (Advanced Series on Statistical Science & Applied Probability)

by SvetlanaI.Boyarchenko (Author), SergeLevendorskii (Author)

• Used

  Hardcover
  2002

  $31.46

  This text introduces a computationally effective class of non-Gaussian models for shocks (regular Levy processes of the exponential type) and related analytical methods similar to the initial Merton-Black-Scholes approach, which the authors call the Merton-Black-Scholes theory.