68 citations · 324 across the 23 of their papers we have counts for
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q-fin.PR2020★ 65 cited
Generalised geometric Brownian motion: Theory and applications to option pricing
Viktor Stojkoski, Trifce Sandev, Lasko Basnarkov +2
Classical option pricing schemes assume that the value of a financial asset follows a geometric Brownian motion (GBM). However, a growing body of studies suggest that a simple GBM…
q-fin.PR2018
Option Pricing with Heavy-Tailed Distributions of Logarithmic Returns
Lasko Basnarkov, Viktor Stojkoski, Zoran Utkovski +1
A growing body of literature suggests that heavy tailed distributions represent an adequate model for the observations of log returns of stocks. Motivated by these findings, here w…