About: Perturbation Expansion for Option Pricing with Stochastic Volatility

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	We fit the volatility fluctuations of the S&P 500 index well by a Chi distribution, and the distribution of log-returns by a corresponding superposition of Gaussian distributions. We fit the volatility fluctuations of the S&P 500 index well by a Chi distribution, and the distribution of log-returns by a corresponding superposition of Gaussian distributions. (en)
Title	Perturbation Expansion for Option Pricing with Stochastic Volatility Perturbation Expansion for Option Pricing with Stochastic Volatility (en)
skos:prefLabel	Perturbation Expansion for Option Pricing with Stochastic Volatility Perturbation Expansion for Option Pricing with Stochastic Volatility (en)
skos:notation	RIV/68407700:21340/09:00160246!RIV10-MSM-21340___
http://linked.open...avai/riv/aktivita	P Z
http://linked.open...avai/riv/aktivity	P(LC07048), Z(MSM6840770039)
http://linked.open...iv/cisloPeriodika	17
http://linked.open...vai/riv/dodaniDat	2010
http://linked.open...aciTvurceVysledku	Jizba, Petr
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	České vysoké učení technické v Praze / Fakulta jaderná a fyzikálně inženýrská
http://linked.open...dnocenehoVysledku	333172
http://linked.open...ai/riv/idVysledku	RIV/68407700:21340/09:00160246
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Black-Scholes formula; Volatility; Gamma distribution; Mellin transform (en)
http://linked.open.../riv/klicoveSlovo	Volatility Black-Scholes formula Mellin transform Gamma distribution
http://linked.open...odStatuVydavatele	NL - Nizozemsko
http://linked.open...ontrolniKodProRIV	[B5C9F6A75E5A]
http://linked.open...i/riv/nazevZdroje	Physica A: Statistical Mechanics and Its Applications
http://linked.open...in/vavai/riv/obor	BE
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...vavai/riv/projekt	Centre for Physics of Ultra-relativistic Nuclear Collissions
http://linked.open...UplatneniVysledku	2009
http://linked.open...v/svazekPeriodika	388
http://linked.open...iv/tvurceVysledku	Jizba, Petr
http://linked.open...ain/vavai/riv/wos	000267963200013
http://linked.open...n/vavai/riv/zamer	Matematické, počítačové a experimentální metody ve fyzice
issn	0378-4371
number of pages	18 (xsd:int)
http://localhost/t...ganizacniJednotka	21340
is http://linked.open...avai/riv/vysledek of	Perturbation Expansion for Option Pricing with Stochastic Volatility Perturbation Expansion for Option Pricing with Stochastic Volatility Perturbation Expansion for Option Pricing with Stochastic Volatility Perturbation Expansion for Option Pricing with Stochastic Volatility

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