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
β¦ LIBER β¦
Option pricing under non-normality: a comparative analysis
β Scribed by Sharif Mozumder, Ghulam Sorwar, Kevin Dowd
- Book ID
- 118809529
- Publisher
- Springer US
- Year
- 2012
- Tongue
- English
- Weight
- 958 KB
- Volume
- 40
- Category
- Article
- ISSN
- 0924-865X
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