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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.

Modeling and simulation of financial returns under non-Gaussian distributions

Federica De Domenico;Giacomo Livan;Guido Montagna
;
2023-01-01

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.
2023
The Physics category includes resources of a broad, general nature that contain materials from all areas of physics, The category also includes resources specifically concerned with the following physics sub-fields: mathematical physics, particle and nuclear physics, physics of fluids and plasmas, quantum physics, and theoretical physics.
PHYSICA. A
sì
WOS:001144423400001
2-s2.0-85160347315
Esperti anonimi
Inglese
Internazionale
STAMPA
622
128886
19
Econophysics, financial returns, heavy-tailed distributions, stochastic processes, option pricing
no
4
info:eu-repo/semantics/article
262
DE DOMENICO, Federica; Livan, Giacomo; Montagna, Guido; Nicrosini, Oreste
1 Contributo su Rivista::1.1 Articolo in rivista
none
1.1 Articolo in rivista
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11571/1478737
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