Title of article :
Option pricing for a logstable asset price model
Author/Authors :
Hurst، نويسنده , , S.R and Platen، نويسنده , , E and Rachev، نويسنده , , S.T، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 1999
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.
Keywords :
Subordination , Stable processes , Option Pricing , Implied volatility smile
Journal title :
Mathematical and Computer Modelling
Journal title :
Mathematical and Computer Modelling
