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...
Guardat en:
| Autors principals: | , , , |
|---|---|
| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
MDPI AG
2024-07-01
|
| Col·lecció: | Mathematics |
| Matèries: | |
| Accés en línia: | https://www.mdpi.com/2227-7390/12/15/2346 |
| Etiquetes: |
Sense etiquetes, Sigues el primer a etiquetar aquest registre!
|