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A theory of non-Gaussian option pricing

67 citations0/0 files storedQuantitative Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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Harry M Markowitz, president of Harry Markowitz Company; 1990 Nobel Laureate, Economic Sciences; Research Professor of Economics at University of California San Diego.

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1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 1976Option pricing when underlying stock returns are discontinuous 1987The Pricing of Options on Assets with Stochastic Volatilities 1999Scaling of the distribution of fluctuations of financial market indices 2000Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing 1998New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model 2014An Introduction to the Mathematics of Financial Derivatives

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2020Generalised Geometric Brownian Motion: Theory and Applications to Option Pricing 2016Predicting Systemic Risk with Entropic Indicators

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