๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Distribution-free option pricing

โœ 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.


๐Ÿ“œ SIMILAR VOLUMES


Option pricing under extended normal dis
โœ Hosam Ki; Byungwook Choi; Kook-Hyun Chang; Miyoung Lee ๐Ÿ“‚ Article ๐Ÿ“… 2005 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 321 KB

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

Approximate Option Pricing
โœ P. Chalasani; S. Jha; I. Saias ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› Springer ๐ŸŒ English โš– 125 KB
Martingale option pricing
โœ J.L. McCauley; G.H. Gunaratne; K.E. Bassler ๐Ÿ“‚ Article ๐Ÿ“… 2007 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 163 KB
VIX option pricing
โœ Yueh-Neng Lin; Chien-Hung Chang ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 268 KB

## Abstract Substantial progress has been made in developing more realistic option pricing models for S&P 500 index (SPX) options. Empirically, however, it is not known whether and by how much each generalization of SPX price dynamics improves VIX option pricing. This article fills this gap by firs

CAPM option pricing
โœ Sven Husmann; Neda Todorova ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 200 KB