Option pricing for a logstable asset price model

S. R. Hurst, E. Platen, S. T. Rachev

Research output: Contribution to journalArticle

29 Scopus citations

Abstract

The paper generalises the celebrated Black and Scholes [1] European option pricing formula for a class of logstable asset price models. The theoretical option prices have the potential to explain the implied volatility smiles evident in the market.

Original languageEnglish
Pages (from-to)105-119
Number of pages15
JournalMathematical and Computer Modelling
Volume29
Issue number10-12
DOIs
StatePublished - 1999

Keywords

  • Implied volatility smile
  • Option pricing
  • Stable processes
  • Subordination

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