Though the Black-Scholes model shows systematic maturity-moneyness biases, still this simple and elegant model is used worldwide as a benchmark method to fix the base price of options trading on exchanges. Volatility is the only unknown factor in Black-Scholes model. In this paper, we have used...

This paper attempts to determine the best alternative model of options pricing with the capacity to control both the level of skewness and kurtosis. It aims to replicate the effectiveness of classic stochastic and deterministic option pricing models and also establish a correlation between the...