| Document Type
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BL
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| Record Number
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657978
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| Doc. No
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dltt
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| Main Entry
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Schoutens, Wim
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| Title & Author
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Lévy processes in finance : : pricing financial derivatives /\ Wim Schoutens
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| Publication Statement
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Chichester, West Sussex ;New York :: J. Wiley,, c2003
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| Series Statement
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Wiley series in probability and statistics
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| Page. NO
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xiii, 170 p. :: ill. ;; 24 cm
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| ISBN
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0470851562
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: 9780470851562
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| Bibliographies/Indexes
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Includes bibliographical references (p. [157]-164) and index
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| Contents
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Financial mathematics in continuous time -- The Black-Scholes model --Imperfections of the Black-Scholes model -- Lévy processes and OU processes -- Stock price models driven by Lévy Processes -- Lévy models with stochastic volatility -- Simulation techniques -- Exotic option pricing -- Interest-rate models -- Appendix A : Special functions -- Appendix B : Lévy processes -- Appendix C : S & P 500 call option prices
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| Subject
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Derivative securities-- Prices-- Mathematical models
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| Subject
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Lévy processes
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| LC Classification
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HG6024.A3S37 2003
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