A non-Gaussian model of stock returns: option smiles, credit skews, and a multi-time scale memory

Lisa Borland

doi:10.1117/12.610723

23 May 2005 A non-Gaussian model of stock returns: option smiles, credit skews, and a multi-time scale memory(Keynote Address)

Lisa Borland

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Proceedings Volume 5848, Noise and Fluctuations in Econophysics and Finance; (2005) https://doi.org/10.1117/12.610723
Event: SPIE Third International Symposium on Fluctuations and Noise, 2005, Austin, Texas, United States

Abstract

Recent work based on a non-Gaussian statistical feedback model of stock returns is summarized. The model is outlined, as well as applications to option pricing and the pricing of credit. An extension of the original model which incorporates feedback over multiple time horizons is also briefly discussed.

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Lisa Borland "A non-Gaussian model of stock returns: option smiles, credit skews, and a multi-time scale memory(Keynote Address)", Proc. SPIE 5848, Noise and Fluctuations in Econophysics and Finance, (23 May 2005); https://doi.org/10.1117/12.610723

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