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Option pricing for a logstable asset price model

Authors
Journal
Mathematical and Computer Modelling
0895-7177
Publisher
Elsevier
Publication Date
Volume
29
Identifiers
DOI: 10.1016/s0895-7177(99)00096-5
Keywords
  • Subordination
  • Stable Processes
  • Option Pricing
  • Implied Volatility Smile

Abstract

Abstract The paper generalises the celebrated Black and Scholes [1] European option pricing formula for a class of logstable asset price models. The theoretical option prices have the potential to explain the implied volatility smiles evident in the market.

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