منابع مشابه
A Jump-Diffusion Model for Option Pricing
Brownian motion and normal distribution have been widely used in the Black–Scholes option-pricing framework to model the return of assets. However, two puzzles emerge from many empirical investigations: the leptokurtic feature that the return distribution of assets may have a higher peak and two (asymmetric) heavier tails than those of the normal distribution, and an empirical phenomenon called...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2007
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697680600991226