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Option pricing for a logstable asset price model

Hurst, Stephanie; Platen, Eckhard; Racherla, Deepti


The paper generalises the celebrated Black and Scholes [1] European option pricing formula for a class of logstable asset price models. The theoretical option prices have the potential to explain the implied volatility smiles evident in the market.

CollectionsANU Research Publications
Date published: 1999
Type: Journal article
Source: Mathematical and Computer Modelling
DOI: 10.1016/S0895-7177(99)00096-5


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