Title of article :
Fat tails and colored noise in financial derivatives
Author/Authors :
Josep Perell?، نويسنده , , Jaume Masoliver، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2002
Abstract :
We study the effect of heavy tails and correlations on the price of the one of the simplest financial derivative: the European call option. We see that both effects have opposite and nontrivial consequences on the price of the derivatives.
Journal title :
Physica A Statistical Mechanics and its Applications
Journal title :
Physica A Statistical Mechanics and its Applications