Future of option pricing: use of log logistic distribution instead of log normal distribution in Black Scholes model
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References listed on IDEAS
- Jackwerth, Jens Carsten & Rubinstein, Mark, 1996. " Recovering Probability Distributions from Option Prices," Journal of Finance, American Finance Association, vol. 51(5), pages 1611-1632, December.
- Simon Benninga, 2008. "Financial Modeling, 3rd Edition," MIT Press Books, The MIT Press, edition 3, volume 1, number 0262026287, January.
More about this item
Keywordsoption pricing; black sholes model; logistic distribution; fat tailed distribution; options; derivatives; pricing;
- G2 - Financial Economics - - Financial Institutions and Services
- G3 - Financial Economics - - Corporate Finance and Governance
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