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Option pricing under fat-tailed probability distributions

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Option pricing under fat tails

These notebooks are about Nassim Nicholas Taleb's Statistical Consequences of Fat Tails. In particular, they go through chapters 3 - 5 and 23 to develop a basic understanding of so-called power laws and how to price options given the existence of these power laws.

The notebooks should be read in the order they are numbered.

The video recordings provided by the reading club are extremely helpful.

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Option pricing under fat-tailed probability distributions

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