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학술저널

왜도와 첨도를 고려한 옵션 가격의 결정

Option Pricing with Skewness and Leptokurtic

  • 7

The purpose of this study is to derive a European option pricing formula when the rate of return on the underlying asset follows a Gram-Chalier distribution instead of normal. This distribution explains well the volatility smile and furthermore the option prices calculated under the distribution are shown to be closer to the market option prices than that of Black-Scholes model(1973). We estimate the implied parameters of the new pricing formula such as volatility, skewness, and kurtosis, and conduct an in-sample test to verify the fitness of the pricing formula that we propose here.

I. 개요

II. 위험중립 가격결정모델

III. Gram-Chalier분포 하에서의 옵션의 가치

IV. 옵션의 가격 비교

V. 결론

References

Abstract

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