Option pricing for stable and infinitely divisible asset returns

DOI10.1016/S0895-7177(99)00095-3zbMath0990.91023OpenAlexW2092911588MaRDI QIDQ1596868

Svetlozar T. Rachev, Stefan Mittnik

Publication date: 5 May 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0895-7177(99)00095-3

zbMATH Keywords

option pricingvolatilityasset returnsBlack-Scholes option pricing modelfat-tailed distribution

Mathematics Subject Classification ID

Applications of statistics (62P99) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Option pricing for stable and infinitely divisible asset returns
• Option pricing for a logstable asset price model
• Modeling asset returns with alternative stable distributions^*
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach
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