Quantifying risks with exact analytical solutions of derivative pricing distribution

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• 作者：Kun Zhang^a ; ¹ ; Jing Liu^b ; ¹ ; Erkang Wang^a ; Jin Wang^a ; ^b ; ^c ; ^d ; ^{jin.wang.1@stonybrook.edu}
• 关键词：Option pricing ; Distribution ; Risk
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：1 April 2017
• 年：2017
• 卷：471
• 期：Complete
• 页码：757-766
• 全文大小：504 K
• 卷排序：471

文摘

Path integral approach to the statistical distributions of option pricing. Analytical expressions of statistical distribution of bond and bond option pricing. Statistical fluctuations and fatty tails of bond and bond option pricing.