Solving the Esscher puzzle: the NEF-GHS option pricing model
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References listed on IDEAS
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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- Fabozzi, Frank J. & Leccadito, Arturo & Tunaru, Radu S., 2014. "Extracting market information from equity options with exponential Lévy processes," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 125-141.
- Fischer, Matthias J., 2002. "Skew generalized secant hyperbolic distributions: unconditional and conditional fit to asset returns," Discussion Papers 46/2002, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
More about this item
KeywordsNEF-GHS distribution; Option pricing; Esscher transformation;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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