The construction of riskless portdolio for Student-like FAT models
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Date
2016
Authors
Musienko, J.
Shchestyuk, Nataliia
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Abstract
In this paper we set up a riskless portfolio for alternative to
Black-Scholes GBM model that incorporates the Student-like
distribution of the returns.
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Citation
Musienko J. The construction of riskless portdolio for Student-like FAT models / Musienko J., Shchestyuk N. // Problems of Decision Making Under Uncertainties : PDMU-2016 XXVIII International Conference : dedicated to 70-th anniversary of Professor Jaroslav Michalek (August 25-30, 2016). - Brno, Czech Republic, 2016. - P. 78.