Alternative option pricing models incorporating higher moments and non-restrictive distributions

• المؤلف الرئيسي: Ang, Kian Ping
• مؤلفون آخرون: Shahiqur Rahman
• التنسيق: Theses and Dissertations
• اللغة: English
• منشور في: 2008
• الموضوعات: DRNTU::Business::Finance::Options
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/7245

A new method of inferring moments of risk-neutral probability density function that is consistent with the traded option prices is developed. Incorporating the market inferred moments of the risk-neutral probability density function is a practical way to overcome the need for using different volatil...