Article1991

Option pricing for generalized distributions

James B. McDonald · Richard M. Bookstaber

34 citations0/0 files storedCommunication in Statistics- Theory and Methods

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

The Black Scholes formula has been widely used to price financial instruments. The derivation of this formula is based on the assumption of lognormally distributed returns which is often in poor agreement with actual data. An option pricing formula based on the generalized beta of the second kind (GB2) is presented. This formula includes the Black Scholes formula as a special case and accommodates a wide variety of nonlognormally distributed returns. The sensitivity of option values to departures from the skewness and kurtosis associated with the lognormal distribution is investigated.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 34 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1987The Pricing of Options on Assets with Stochastic Volatilities 1976The valuation of options for alternative stochastic processes 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.