Modeling and simulation of financial returns under non-Gaussian distributions

Articolo
Data di Pubblicazione:
2023
Abstract:
Study and simulation of the most popular models of return distributions as obtained in the empirical analyses of high-frequency financial data. Application to option pricing.
Tipologia CRIS:
1.1 Articolo in rivista
Keywords:
Econophysics, financial returns, heavy-tailed distributions, stochastic processes, option pricing
Elenco autori:
Autori di Ateneo:
Link alla scheda completa:
https://iris.unipv.it/handle/11571/1478737
Pubblicato in:
PHYSICA. A
Journal