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Option pricing for a logstable asset price model

Hurst, Stephanie; Platen, Eckhard; Racherla, Deepti

Description

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.

dc.contributor.authorHurst, Stephanie
dc.contributor.authorPlaten, Eckhard
dc.contributor.authorRacherla, Deepti
dc.date.accessioned2015-12-13T23:41:28Z
dc.identifier.issn0895-7177
dc.identifier.urihttp://hdl.handle.net/1885/94922
dc.description.abstractThe 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.
dc.publisherPergamon-Elsevier Ltd
dc.sourceMathematical and Computer Modelling
dc.subjectKeywords: Implied volatility smile; Option pricing; Stable processes; Subordination
dc.titleOption pricing for a logstable asset price model
dc.typeJournal article
local.description.notesImported from ARIES
local.description.refereedYes
dc.date.issued1999
local.identifier.absfor010401 - Applied Statistics
local.identifier.ariespublicationMigratedxPub24630
local.type.statusPublished Version
local.contributor.affiliationHurst, Stephanie, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationPlaten, Eckhard, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationRacherla, Deepti, University of Southern California
local.description.embargo2037-12-31
local.identifier.doi10.1016/S0895-7177(99)00096-5
dc.date.updated2015-12-12T09:32:40Z
local.identifier.scopusID2-s2.0-0033133977
CollectionsANU Research Publications

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