History dependent random walk and option pricing
Datum
22.2.2011 14:00
Přednášející
Jongwook Kim
| Sogang University and CQUeST
|
Obsah
The micro physics of fat tail is identified to non-Markov statistics. We consider a simple history dependent random walk model and derive corresponding non-Markov distributions with fat tail. Some analytic properties are investigated and new option pricing methods that count more volatility risk are developed.