Option pricing for Informed Traders
Mathematical Finance
2017-11-28 v1
Abstract
In this paper we extend the theory of option pricing to take into account and explain the empirical evidence for asset prices such as non-Gaussian returns, long-range dependence, volatility clustering, non-Gaussian copula dependence, as well as theoretical issues such as asymmetric information and the presence of limited arbitrage opportunities
Keywords
Cite
@article{arxiv.1711.09445,
title = {Option pricing for Informed Traders},
author = {Stoyan V. Stoyanov and Yong Shin Kim and Svetlozar T. Rachev and Frank J. Fabozzi},
journal= {arXiv preprint arXiv:1711.09445},
year = {2017}
}