This paper reports several entirely new results on ÿnancial market dynamics and option pricing. We observe that empirical distributions of returns are much better approximated by an exponential distribution than by a Gaussian. This exponential distribution of asset prices can be used to develop a ne
✦ LIBER ✦
Empirical assessment of an intertemporal option pricing model with latent variables
✍ Scribed by René Garcia; Richard Luger; Eric Renault
- Book ID
- 108432675
- Publisher
- Elsevier Science
- Year
- 2003
- Tongue
- English
- Weight
- 291 KB
- Volume
- 116
- Category
- Article
- ISSN
- 0304-4076
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