Tail Risk Signal Detection through a Novel EGB2 Option Pricing Model
Connecting derivative pricing with tail risk management has become urgent for financial practice and academia. This paper proposes a novel option pricing model based on the exponential generalized beta of the second kind (EGB2) distribution. The newly proposed model is of generality, simplicity, rob...
Furkejuvvon:
| Váldodahkkit: | , , |
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| Materiálatiipa: | Artigo |
| Giella: | Inglês |
| Almmustuhtton: |
MDPI AG
2023-07-01
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| Ráidu: | Mathematics |
| Fáttát: | |
| Liŋkkat: | https://www.mdpi.com/2227-7390/11/14/3194 |
| Fáddágilkorat: |
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