Código QR (código de barras bidimensional)

Application of Extended Normal Distribution in Option Price Sensitivities

Empirical evidence indicates that asset returns adhere to an extended normal distribution characterized by excessive kurtosis and non-zero skewness. Consequently, option prices derived from this distribution diverge from those predicted by the Black–Scholes model. Despite the significance of option...

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Principais autores: Gangadhar Nayak, Subhranshu Sekhar Tripathy, Agbotiname Lucky Imoize, Chun-Ta Li
פורמט: Artigo
שפה:Inglês
יצא לאור: MDPI AG 2024-07-01
סדרה:Mathematics
נושאים:
high-frequency trading
normal CDF
Q-function
option price
option Greeks
גישה מקוונת:https://www.mdpi.com/2227-7390/12/15/2346
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