Title :
Stable distribution and option pricing
Author :
Wang, Jianhua ; Li, Dan
Author_Institution :
Dept. of Math., Wuhan Univ. of Technol., Wuhan, China
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;
Conference_Titel :
Multimedia Technology (ICMT), 2011 International Conference on
Conference_Location :
Hangzhou
Print_ISBN :
978-1-61284-771-9
DOI :
10.1109/ICMT.2011.6002644
