| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7375417 | Physica A: Statistical Mechanics and its Applications | 2018 | 36 Pages |
Abstract
Despite the non-Gaussian nature of probability distributions involved, the new option pricing model has the same degree of analytical tractability as the Black-Scholes model and the Merton jump-diffusion model. This attractive feature allows one to derive exact formulas to value options and option related instruments in the market with jump-like price patterns.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Nick Laskin,