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Calibrated FFT-based density approximations for alpha-stable distributions

C. Menn, и S. Rachev. Computational Statistics & Data Analysis, 50 (8): 1891--1904 (10.04.2006)

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Spot and derivative pricing in the EEX power marketM. Bierbrauer, C. Menn, S. Rachev, и S. Trück. Journal of Banking & Finance, 31 (11): 3462--3485 (ноября 2007)Optionspreisbewertung{. Menn. Finanzmanagement Kovaÿéc, Hamburg, (2004)Calibrated FFT-based density approximations for alpha-stable distributionsC. Menn, и S. Rachev. Computational Statistics & Data Analysis, 50 (8): 1891--1904 (10.04.2006)A GARCH option pricing model with alpha-stable innovations.C. Menn, и S. Rachev. Eur. J. Oper. Res., 163 (1): 201-209 (2005)