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Option Prices Under Generalized Pricing Kernels

✍ Scribed by Bertram Düring; Erik Lüders


Book ID
106514033
Publisher
Springer US
Year
2005
Tongue
English
Weight
403 KB
Volume
8
Category
Article
ISSN
1380-6645

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Option pricing under extended normal dis
✍ Hosam Ki; Byungwook Choi; Kook-Hyun Chang; Miyoung Lee 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 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