The Generalized Extreme Value (GEV) Distribution, Implied Tail Index and Option Pricing

By Sheri M. Markose, A. Alentorn. 2011

87 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/be578f3313c3b4a055688772a058a6b0d8301eac

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Saiful Amri Mazlan
2. Shin-ichiroh Yamamoto
3. Mohd Azizi Abdul Rahman
4. Siti Anom Ahmad
5. Nurhazimah Nazmi
6. Hairi Zamzuri

Citations in the corpus

• A Review of Classification Techniques of EMG Signals during Isotonic and Isometric Contractions (2016, methodology): “In 2015, a research conducted by Nazmi et al. [81] revealed potential to implement Extreme Value Theory (EVT) as biosignals exist at abnormally low or high values of data, categorized as extreme events according to Markose and Alernton [82].”