Non-Gaussian Merton-Black-Scholes Theory

Svetlana Boyarchenko and Sergei Z Levendorskii
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Sergei Z Levendorskii: Rostov State University of Economics, Russia

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: This book introduces an analytically tractable and computationally effective class of non-Gaussian models for shocks (regular Lévy processes of the exponential type) and related analytical methods similar to the initial Merton–Black–Scholes approach, which the authors call the Merton–Black–Scholes theory.

Keywords: Non-Gaussian Models; Merton-Black-Scholes Theory; Levy Processes; American Options; European Options; Feller Processes (search for similar items in EconPapers)
Date: 2002
ISBN: 9789810249441
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Citations: View citations in EconPapers (61)

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Chapters in this book:

Ch 1 Introduction , pp 1-37

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ

Ch 2 Lévy processes , pp 39-66

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ

Ch 3 Regular Lévy Processes of Exponential type in 1D , pp 67-96

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ

Ch 4 Pricing and hedging of contingent claims of European type , pp 97-120

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ

Ch 5 Perpetual American options , pp 121-149

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ

Ch 6 American options: finite time horizon , pp 151-164

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ

Ch 7 First-touch digitals , pp 165-183

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ

Ch 8 Barrier options , pp 185-198

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ

Ch 9 Multi-asset contracts , pp 199-219

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ

Ch 10 Investment under uncertainty and capital accumulation , pp 221-230

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ

Ch 11 Endogenous default and pricing of the corporate debt , pp 231-253

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ

Ch 12 Fast pricing of European options , pp 255-266

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ

Ch 13 Discrete time models , pp 267-280

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ

Ch 14 Feller processes of normal inverse Gaussian type , pp 281-294

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ

Ch 15 Pseudo-differential operators with constant symbols , pp 295-364

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ

Ch 16 Elements of calculus of pseudodifferential operators , pp 365-383

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ

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