This article proposes a closed pricing formula for European options when the return of the underlying asset follows extended normal distribution, that is, any different degrees of skewness and kurtosis relative to the normal distribution induced by the Black-Scholes model. The moment restriction is
โฆ LIBER โฆ
Distribution-free option pricing
โ Scribed by Ann De Schepper; Bart Heijnen
- Book ID
- 108153092
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 762 KB
- Volume
- 40
- Category
- Article
- ISSN
- 0167-6687
No coin nor oath required. For personal study only.
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