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Analytically Tractable Stochastic Stock Price Models

Asymptotic analysis of stochastic stock price models is the central topic of the present volume. Special examples of such models are stochastic volatility models, that have been developed as an answer to certain imperfections in a celebrated Black-Scholes model of option pricing. In a stock price mo...

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Bibliographic Details
Main Author: Gulisashvili, Archil
Format: eBook
Language:English
Published: Berlin, Heidelberg Springer Berlin Heidelberg 2012, 2012
Edition:1st ed. 2012
Series:Springer Finance
Subjects:
Mathematics In Business, Economics And Finance
Mathematical Analysis
Approximations And Expansions
Probability Theory
Analysis
Social Sciences / Mathematics
Applications Of Mathematics
Approximation Theory
Mathematics
Probabilities
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Table of Contents:
  • 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

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