Please use this identifier to cite or link to this item:
|Scopus||Web of Science®||Altmetric|
|Title:||Path integrals in fluctuating markets with a non-Gaussian option pricing model|
Van Der Hoek, J.
|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|
|Series/Report no.:||Proceedings of SPIE--the International Society for Optical Engineering ; 5848.|
|Conference Name:||Noise and fluctuations in econophysics and finance (2005 : Austin, Texas)|
|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|
|Appears in Collections:||Aurora harvest|
Electrical and Electronic Engineering publications
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.