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European Option Based on Least-Squares Method under Non-Extensive Statistical Mechanics
This paper is devoted to the study of the pricing of European options under a non-Gaussian model. This model follows a non-extensive statistical mechanics which can better describe the fractal characteristics of price movement in the financial market. Moreover, we present a simple but precise least-...
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| Pubblicato in: | Entropy (Basel) |
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| Autori principali: | , |
| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
MDPI
2019
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| Soggetti: | |
| Accesso online: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7514264/ https://ncbi.nlm.nih.govhttp://dx.doi.org/10.3390/e21100933 |
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