3 papers
cond-mat1998
Beyond implied volatility
Rama Cont
After a brief review of option pricing theory, we introduce various methods proposed for extracting the statistical information implicit in options prices. We discuss the advantage…
cond-mat1996
Convergent multiplicative processes repelled from zero: power laws and truncated power laws
Rama Cont, Didier Sornette
Random multiplicative processes (with < λ_j > 0 ) lead, in the presence of a boundary constraint, to a distribution in the form of a power law $w_t^…
cond-mat1996
Comment on ``Turbulent cascades in foreign exchange markets''
Alain Arneodo, Jean-Philippe Bouchaud, Rama Cont +4
Recently, Ghashghaie et al. have shown that some statistical aspects of fully developed turbulence and exchange rate fluctuations exhibit striking similarities (Nature 381, 767 (19…