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Practical computing for finite moment log-stable distributions to model financial risk

https://doi.org/10.1007/s11222-014-9478-9
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-1-4419-9230-7_2openalex-snapshot
Options, Futures and Other Derivatives
inferredcites →https://doi.org/10.1007/978-1-4757-2763-0_14openalex-snapshot
The variation of certain speculative prices
inferredcites →https://doi.org/10.1016/0016-0032(58)90688-4openalex-snapshot
An introduction to probability theory and its applications
inferredcites →https://doi.org/10.1016/s0895-7177(01)00126-1openalex-snapshot
Margrabe's option to exchange in a paretian-stable subordinated market
inferredcites →https://doi.org/10.1080/01621459.1976.10480344openalex-snapshot
A Method for Simulating Stable Random Variables
inferredcites →https://doi.org/10.1080/15326349708807450openalex-snapshot
Numerical calculation of stable densities and distribution functions
inferredcites →https://doi.org/10.1086/260062openalex-snapshot
The Pricing of Options and Corporate Liabilities
inferredcites →https://doi.org/10.1086/294743openalex-snapshot
The Behavior of Stock-Market Prices
inferredcites →https://doi.org/10.1090/mmono/065openalex-snapshot
One-Dimensional Stable Distributions
inferredcites →https://doi.org/10.1111/1540-6261.00544openalex-snapshot
The Finite Moment Log Stable Process and Option Pricing
inferredcites →https://doi.org/10.1112/blms/13.1.23openalex-snapshot
A Comedy of Errors: The Canonical Form for a Stable Characteristic Function
inferredcites →https://doi.org/10.1201/9780203738818openalex-snapshot
Stable Non-Gaussian Random Processes
inferredcites →https://doi.org/10.17077/0021-065x.1850openalex-snapshot
Providence, Rhode Island
inferredcites →https://doi.org/10.2307/2291104openalex-snapshot
Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance.
inferredcites →https://doi.org/10.2307/2314609openalex-snapshot
An Introduction to Probability Theory and Its Applications.
inferredcites →https://doi.org/10.23874/amber/2016/v7/i1/121351openalex-snapshot
“Options, Futures, and Other Derivatives”
inferredcites →https://doi.org/10.6028/jres.077b.017openalex-snapshot
Tables and graphs of the stable probability density functions

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.3823337openalex-extracted
inferred← citeshttps://doi.org/10.1007/s11222-016-9691-9openalex-snapshot
Fast parallel $$\alpha $$ α -stable distribution function evaluation and parameter estimation using OpenCL in GPGPUs
inferred← citeshttps://doi.org/10.1080/14697688.2022.2152365openalex-snapshot
Closed-form option pricing for exponential Lévy models: a residue approach
inferred← citeshttps://doi.org/10.1155/2021/6698299openalex-snapshot
Organization Evolution of Fuzzy System Based on Financial Risk Degree of Commercial Banks
inferred← citeshttps://doi.org/10.1186/s13662-017-1461-2openalex-snapshot
Wavelets optimization method for evaluation of fractional partial differential equations: an application to financial modelling
inferred← citeshttps://doi.org/10.3390/risks7020036openalex-snapshot
Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model
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