European option pricing using Gumbel distribution
Year of publication: |
2022
|
---|---|
Authors: | Purohit, Seema Uday ; Lalit, Prasad Narahar |
Published in: |
International journal of financial engineering. - Singapore [u.a.] : World Scientific, ISSN 2424-7944, ZDB-ID 2832512-6. - Vol. 9.2022, 1, Art.-No. 2141002, p. 1-11
|
Subject: | Black-Scholes formula | generalized extreme value (GEV) | Gumbel distribution | Levy process | Risk-neutral density (RND) | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Statistische Verteilung | Statistical distribution |
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