Singh, Vipul Kumar - In: International Journal of Financial Markets and Derivatives 3 (2014) 4, pp. 358-391
Enforced by the empirical deficiencies of the Black-Scholes and its wrong distributional assumption, researchers provoked to pursue the development of more realistic option pricing models encompassing the level of skewness and kurtosis. Therefore, the objective of this paper is multi-fold. The...