The authors reconsider the problem of parametrically specifying distribution suitable for asset-return models. They describe alternative distributions, showing how they can be estimated and applied to stock-index and exchange-rate data. The implications for options pricing are also investigated.
- ISBN10 0471953148
- ISBN13 9780471953142
- Publish Date 25 April 2000
- Publish Status Active
- Publish Country US
- Imprint John Wiley & Sons Inc
- Format Hardcover
- Pages 896
- Language English