论文信息 - Fat tails and colored noise in financial derivatives - 字舞流文

Fat tails and colored noise in financial derivatives

We study the effect of heavy tails and correlations on the price of the one of the simplest financial derivative: the European call option. We see that both effects have opposite and nontrivial consequences on the price of the derivatives.

Josep Perelló | Jaume Masoliver | J. Masoliver | J. Perelló

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