Non-Gaussian Merton-Black-Scholes Theory

Non-Gaussian Merton-Black-Scholes Theory

by Sergei Z Levendorskii, Svetlana Boyarchenko
     
 

ISBN-10: 9810249446

ISBN-13: 9789810249441

Pub. Date: 03/28/2002

Publisher: World Scientific Publishing Company, Incorporated

This book introduces an analytically tractable and computationally effective class of non-Gaussian models for shocks (regular Lévy 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.The authors have chosen applications interesting for

Overview

This book introduces an analytically tractable and computationally effective class of non-Gaussian models for shocks (regular Lévy 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.The authors have chosen applications interesting for financial engineers and specialists in financial economics, real options, and partial differential equations (especially pseudodifferential operators); specialists in stochastic processes will benefit from the use of the pseudodifferential operators technique in non-Gaussian situations. The authors also consider discrete time analogues of perpetual American options and the problem of the optimal choice of capital, and outline several possible directions in which the methods of the book can be developed further.Taking account of a diverse audience, the book has been written in such a way that it is simple at the beginning and more technical in further chapters, so that it is accessible to graduate students in relevant areas and mathematicians without prior knowledge of finance or economics.

Product Details

ISBN-13:
9789810249441
Publisher:
World Scientific Publishing Company, Incorporated
Publication date:
03/28/2002
Series:
Advanced Series on Statistical Science and Applied Probability
Pages:
420
Product dimensions:
6.36(w) x 8.84(h) x 1.03(d)

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