Non-Gaussian Merton-Black-Scholes Theory

Svetlana Boyarchenko · Sergei Zakharovich Levendorskii

216 citations0/0 files storedAdvanced series on statistical science and applied probability

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Stochastic processes and financial applications Financial Markets and Investment Strategies Probability and Risk Models

Abstract

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.

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