Publications by Fuentes M. F.
http://www.focproject.eu/publications/64
enNon-Gaussian Price Dynamics and Implications for Option Pricing
http://www.focproject.eu/publications/non-gaussian-price-dynamics-and-implications-option-pricing
<div class="field field-name-body field-type-text-with-summary field-label-hidden"><div class="field-items"><div class="field-item even" property="content:encoded"><p>It is well known that the probability distribution of stock returns is non-gaussian. The tails of the distribution are too “fat”, meaning that extreme price movements, such as stock market crashes, occur more often than predicted given a gaussian model. Numerous studies have attempted to characterize and explain the fat-tailed property of returns. This is because understanding the probability of extreme price movements is important for risk management and option pricing. In spite of this work, there is still no accepted theoretical explanation.</p></div></div></div>Tue, 16 Oct 2012 15:05:53 +000022880 at http://www.focproject.eu