OPTION PRICING BASED ON A LOG–SKEW–NORMAL MIXTURE

DOI10.1142/S021902491550051XzbMath1337.91103OpenAlexW2188855349MaRDI QIDQ3467595

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Publication date: 3 February 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491550051x

zbMATH Keywords

asymmetryoption pricingkurtosisnon-normalskew normal mixtures distribution

Mathematics Subject Classification ID

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

Related Items (2)

Expansions for moments of logarithmic skew-normal extremes ⋮ A mixture of generalized Tukey's \(g\) distributions

Uses Software

• sn

Cites Work

• Martingales and stochastic integrals in the theory of continuous trading
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
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