The Meixner process for financial data
The most famous Black-Scholes model is based on the assumption that the log-returns of financial data follow a normal distribution. Several studies performed show empirical evidence against such normality since the log-returns of most financial data show a significant leptokurtosis. The Meixner dist...
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| Format: | Article |
| Language: | English |
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University Dzon Nezbit
2015-01-01
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| Series: | Megatrend Revija |
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| Online Access: | http://scindeks-clanci.ceon.rs/data/pdf/1820-3159/2015/1820-31591502033N.pdf |