EUROPEAN CALL OPTION PRICING BY ESSCHER TRANSFORM
The Black-Scholes model has long been considered as the standard method for pricing options. This model assumes log-return of the stock prices are normally distributed. However, there is much empirical evidence for that these log-return are not normally distributed. Therefore, in this thesis the log...
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| Format: | Theses |
| Language: | Indonesia |
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| Online Access: | https://digilib.itb.ac.id/gdl/view/32144 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
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