Analytically Tractable Stochastic Stock Price Models

By Archil Gulisashvili

Book Overview

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​.

• Format: Paperback
• Language: English
• ISBN: 3642433863
• ISBN13: 9783642433863
• Release Date: October 2014
• Publisher: Springer
• Length: 362 Pages
• Weight: 1.17 lbs.
• Dimensions: 0.8" x 6.1" x 9.2"