Option pricing based on the generalised Tukey distribution
Year of publication: |
2014
|
---|---|
Authors: | Jiménez, José Alfredo ; Arunachalam, Viswanathan ; Serna, Gregorio Manuel |
Published in: |
International Journal of Financial Markets and Derivatives. - Inderscience Enterprises Ltd, ISSN 1756-7130. - Vol. 3.2014, 3, p. 191-221
|
Publisher: |
Inderscience Enterprises Ltd |
Subject: | generalised Tukey distribution | option pricing | Esscher transform | hypergeometric function | dilogarithmic function | options valuation | derivatives | asset price distribution | skewness | kurtosis | Black-Scholes model |
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