Option pricing for a logstable asset price model

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

doi:10.1016/S0895-7177(99)00096-5

Option pricing for a logstable asset price model

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

Mathematics and Statistics

Research output: Contribution to journal › Article › peer-review

21 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 language	English
Pages (from-to)	105-119
Number of pages	15
Journal	Mathematical and Computer Modelling
Volume	29
Issue number	10-12
DOIs	https://doi.org/10.1016/S0895-7177(99)00096-5
State	Published - 1999

Keywords

Implied volatility smile
Option pricing
Stable processes
Subordination

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10.1016/S0895-7177(99)00096-5

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title = "Option pricing for a logstable asset price model",

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.",

keywords = "Implied volatility smile, Option pricing, Stable processes, Subordination",

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AU - Hurst, S. R.

AU - Platen, E.

AU - Rachev, S. T.

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KW - Implied volatility smile

KW - Option pricing

KW - Stable processes

KW - Subordination

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DO - 10.1016/S0895-7177(99)00096-5

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VL - 29

SP - 105

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JO - Mathematical and Computer Modelling

JF - Mathematical and Computer Modelling

IS - 10-12

ER -

Option pricing for a logstable asset price model

Abstract

Keywords

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