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.
|State||Published - Nov 26 2017|
- Arbitrage opportunities
- Informed traders
- Non-Gaussian financial markets
- Theory of asset pricing