ibt
信息系统管理工程师
A Note: Natural Generalization of Black-Scholes in the Prence of Skewness, Using Stable Process 期刊名称： Abacus
中餐英文菜谱
作者： DAVID EDELMAN庐山谣寄卢侍御虚舟
dairy queen
china sourcing加拿大留学行李清单年份： 2014年
期号： 第1期
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
古诗文翻译>decead
le distributions (a class which, paradoxically, contains the normal) may be utilized to produce models which imply the phenomena naturally.
gpio内容由中国教育图书进出口有限公司引进
