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Non-Gaussian Merton-Black-Scholes Theory

Author

Listed:
  • Svetlana I Boyarchenko

    (University of Texas at Austin, USA)

  • Sergei Z Levendorskii

    (Rostov State University of Economics, Russia)

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.

Individual chapters are listed in the "Chapters" tab

Suggested Citation

  • Svetlana I Boyarchenko & Sergei Z Levendorskii, 2002. "Non-Gaussian Merton-Black-Scholes Theory," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 4955, December.
    • Handle: RePEc:wsi:wsbook:4955
    as

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    File URL: https://www.worldscientific.com/worldscibooks/10.1142/4955
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