Option Pricing Based on the Generalized Lambda Distribution

The generalized lambda distribution is proposed as a useful model for security price distributions. Originally used to generate random variables with varied skewness and kurtosis values in Monte Carlo simulations, proposed financial applications include estimation of state price densities from option prices and VaR simulations based on a multivariate version of the generalized lambda distribution

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Year of publication:	[2001]
Authors:	Corrado, Charles Joseph
Publisher:	[2001]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (29 p)
Type of publication:	Book / Working Paper
Notes:	In: Journal of Futures Market, February, 2001
Other identifiers:	10.2139/ssrn.248696 [DOI]
Classification:	C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012742827