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NON-GAUSSIAN MERTON BLACK SCHOLES THEORYBOYARCHENKO S., LEVENDORSKII S.wydawnictwo: WORLD SCIENTIFIC , rok wydania 2002, wydanie Icena netto: NON-GAUSSIAN MERTON-BLACK-SCHOLES THEORY This book introduces an analytically tractable and computationally effective class of non-Gaussian models for shocks (regular Levy processes of the exponential type) and related analytical methods similar to the initial Merton-Black-Scholes approach, which the authors call the Merton-Black-Schotes theory. The authors have chosen applications interesting for financial engineers and specialists in financial 'economics, real options, and partial differential equations (especially pseudodifferential operators); specialists in stochastic processes will benefit from the use of the pseudo differential operators technique in non-Gaussian situations. The authors also consider discrete time analogues of perpetual American options and the problem of the optimal choice of capital, and outline several possible directions in which the methods of the book can be developed further. Taking account of a diverse audience, the book has been written in such a way that it is simple at the beginning and more technical in further chapters, so that it is accessible to graduate students in relevant areas and mathematicians without prior knowledge of finance or economics. 398 pages
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