Smoothly truncated stable distributions, GARCH-models, and option pricing.

Christian Menn Svetlozar T. Rachev

Published in: Math. Methods Oper. Res. (2009)

Keyphrases

option pricing
garch model
stock price
stock market
black scholes
heavy tailed
decision analysis
black scholes model
probability distribution
real option
random variables
decision makers
expert systems
historical data
stock exchange
image processing
data mining