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Proceedings Paper

A non-Gaussian model of stock returns: option smiles, credit skews, and a multi-time scale memory
Author(s): Lisa Borland
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Paper Abstract

Recent work based on a non-Gaussian statistical feedback model of stock returns is summarized. The model is outlined, as well as applications to option pricing and the pricing of credit. An extension of the original model which incorporates feedback over multiple time horizons is also briefly discussed.

Paper Details

Date Published: 23 May 2005
PDF: 11 pages
Proc. SPIE 5848, Noise and Fluctuations in Econophysics and Finance, (23 May 2005); doi: 10.1117/12.610723
Show Author Affiliations
Lisa Borland, Evnine-Vaughan Associates, Inc. (United States)


Published in SPIE Proceedings Vol. 5848:
Noise and Fluctuations in Econophysics and Finance
Derek Abbott; Jean-Philippe Bouchaud; Xavier Gabaix; Joseph L. McCauley, Editor(s)

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