Option pricing under extended normal distribution
| العنوان: | Option pricing under extended normal distribution |
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| المؤلفون: | Miyoung Lee, Kook-Hyun Chang, Hosam Ki, Byungwook Choi |
| المصدر: | Journal of Futures Markets. 25:845-871 |
| بيانات النشر: | Wiley, 2005. |
| سنة النشر: | 2005 |
| مصطلحات موضوعية: | Economics and Econometrics, Index (economics), Actuarial science, General Business, Management and Accounting, Standard deviation, Moment (mathematics), Normal distribution, Skewness, Valuation of options, Accounting, Econometrics, Kurtosis, Economics, Asset (economics), Finance |
| الوصف: | This article proposes a closed pricing formula for European options when the return of the underlying asset follows extended normal distribution, that is, any different degrees of skewness and kurtosis relative to the normal distribution induced by the Black-Scholes model. The moment restriction is suggested, so that the pricing model under any arbitrary distribution for an underlying asset must satisfy the arbitrage-free condition. Numerical experiments and comparison of empirical performance of the proposed model with the Black-Scholes, ad hoc Black-Scholes, and Gram-Charlier distribution models are carried out. In particular, an estimation of implied parameters such as standard deviation, skewness, and kurtosis of the return on the underlying asset from the market prices of the KOSPI 200 index options is made, and in-sample and out-of-sample tests are performed. These results not only support the previous finding that the actual density of the underlying asset shows skewness to the left and high peaks, but also demonstrate that the present model has good explanatory power for option prices. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:845–871, 2005 |
| تدمد: | 1096-9934 0270-7314 |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_________::9700123fc57fb88852e73292a25d31a2 https://doi.org/10.1002/fut.20168 |
| حقوق: | CLOSED |
| رقم الأكسشن: | edsair.doi...........9700123fc57fb88852e73292a25d31a2 |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 10969934 02707314 |
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