Student-like models for risky asset with dependence
Author:
Affiliation:
1. Department of Mathematics, University of Padua, Padua, Italy
2. School of Mathematics, Cardiff University, Cardiff, UK
3. Department of Mathematics, Kyiv-Mohila University, Kyiv, Ukraine
Publisher
Informa UK Limited
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/07362994.2016.1266945
Reference21 articles.
1. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
2. Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes
3. Normal Variance-Mean Mixtures and z Distributions
4. Diffusion-type models with given marginal distribution and autocorrelation function
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2. Option Pricing and Stochastic Optimization;Springer Proceedings in Mathematics & Statistics;2022
3. Monte-Carlo method for option pricing in sub-diffusive arithmetic models;Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics;2021
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