Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/32197
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Type: Conference paper
Title: Path integrals in fluctuating markets with a non-Gaussian option pricing model
Author: Bonnet, F.
Van Der Hoek, J.
Allison, A.
Abbott, D.
Citation: Noise and fluctuations in econophysics and finance : 24-26 May, 2005, Austin, Texas, USA / Derek Abbott, Jean-Philippe Bouchaud, Xavier Gabaix, Joseph L. McCauley (eds.), pp. 66-85
Publisher: SPIE-INT SOC OPTICAL ENGINEERING
Issue Date: 2005
Series/Report no.: Proceedings of SPIE--the International Society for Optical Engineering ; 5848.
ISBN: 0-8194-5843-0
ISSN: 0277-786X
Conference Name: Noise and fluctuations in econophysics and finance (2005 : Austin, Texas)
Editor: Abbott, D.
Bouchard, J.P.
Gabaix, X.
McCaulty, J.L.
Statement of
Responsibility: 
Frederic D. R. Bonnet, John van der Hoek, Andrew Allison, and Derek Abbott
Abstract: It is well established that volatility has a memory of the past, moreover it is found that volatility correlations are long ranged. As a consequence the volatility cannot be characterized by a single correlation time. Recent empirical work suggests that the volatility correlation functions of various assets actually decay as a power law.
Description: © 2005 COPYRIGHT SPIE--The International Society for Optical Engineering
DOI: 10.1117/12.618664
Appears in Collections:Aurora harvest
Electrical and Electronic Engineering publications

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