Skewed Generalized Error Distribution of Financial Assets and Option Pricing
نویسندگان
چکیده
منابع مشابه
A Generalized Option Pricing Model
The Black Scholes model of option pricing constitutes the cornerstone of contemporary valuation theory. However, the model presupposes the existence of several unrealistic assumptions including the lognormal distribution of stock market price processes. There, now, subsists abundant empirical evidence that this is not the case. Consequently, several generalisations of the basic model have been ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2000
ISSN: 1556-5068
DOI: 10.2139/ssrn.219679