A Note: Natural Generalization of Black-Scholes in the Prence of Skewness, Using Stable Process 期刊名称： Abacus
小学一年级下学期班主任工作计划
作者： DAVID EDELMAN孔子的故事
年份： 2014年
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杭州周边旅游期号： 第1期吴x晶
生活中的爱情关键词： Black‐Scholes;Options;Pricing;Theory
摘要：The Lognormal price model is generalized to the class of Log-Stable Process, a family which posss lf-similarity properties usually only associated with the Lognormal, but which, more generally, can model negatively skewed distributions of return. This generalization appears to explain veral discrepancies between the Black-Scholes Model and obrved market phenomena, such as the variation of implied volatility of option price with exerci price and term to expiry, and the nonzero probability of bankruptcy or 'crash'. It will be argued that the class of maximally negatively skewed Stab
公司发展祝福语le distributions (a class which, paradoxically, contains the normal) may be utilized to produce models which imply the phenomena naturally.
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