DocumentCode
3041635
Title
Stable distribution and option pricing
Author
Wang, Jianhua ; Li, Dan
Author_Institution
Dept. of Math., Wuhan Univ. of Technol., Wuhan, China
fYear
2011
fDate
26-28 July 2011
Firstpage
2602
Lastpage
2604
Abstract
This paper shows that FFT algorithm will be used to calculate the option prices according to characteristic functions of the stock log-prices. The statistical models of stock returns, the historical date of options, parameter estimation methods will be concerned. We will use the stable distribution to fit the Chinese stock market returns statistical distribution, and then compare with Black-Scholes formula.
Keywords
fast Fourier transforms; parameter estimation; pricing; statistical distributions; stock markets; Black-Scholes formula; Chinese stock market returns statistical distribution; FFT algorithm; option pricing; parameter estimation methods; stable distribution; stock log-prices; Approximation methods; Computational modeling; Fast Fourier transforms; Gaussian distribution; Parameter estimation; Pricing; Random variables; Chinese warrant markets; fast fourier transform; parameter estimation; stable distribution;
fLanguage
English
Publisher
ieee
Conference_Titel
Multimedia Technology (ICMT), 2011 International Conference on
Conference_Location
Hangzhou
Print_ISBN
978-1-61284-771-9
Type
conf
DOI
10.1109/ICMT.2011.6002644
Filename
6002644
Link To Document