OPTION PRICING WITH HEAVY-TAILED DISTRIBUTIONS OF LOGARITHMIC RETURNS

DOI10.1142/S0219024919500419zbMath1429.91315arXiv1807.01756OpenAlexW2981915130MaRDI QIDQ5207496

Lasko Basnarkov, Viktor Stojkoski, Ljupčo Kocarev, Zoran Utkovski

Publication date: 2 January 2020

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

Full work available at URL: https://arxiv.org/abs/1807.01756

zbMATH Keywords

asset pricingoption pricingheavy-tailed distributionstruncated distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• DerivaGem

Cites Work

• The Pricing of Options and Corporate Liabilities
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• An Algorithm for the Machine Calculation of Complex Fourier Series
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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• Option pricing when underlying stock returns are discontinuous
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