Estimation of tail risk and moments using option prices with a novel pricing model under a distorted lognormal distribution

DOI10.1155/2020/1603509zbMath1459.91218OpenAlexW3043631811MaRDI QIDQ2193302

Ya Cai, Chengli Zheng, Yan Chen

Publication date: 25 August 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/1603509

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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