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Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach

Due to the well known fact that market returns are not normally distributed, we use generalized hyperbolic distributions for pricing options in a randomized discrete-time setup. The obtained formulas can be used for pricing options on stock indexes, currencies and futures contracts. We test them on options written on the Nikkei 225 index futures and conclude that a proper calibration scheme could give us an advantage in the financial market.
Year of publication:
2002
Authors: Weron, Rafal
Institutions: Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
Subject: Option pricing | Dividends | Randomization | Alternative models
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Published in Probability and Mathematical Statistics 22.2 (2002) 417-430. Number HSC/02/04 13 pages
Classification: G13 - Contingent Pricing; Futures Pricing
Source:
Persistent link: https://www.econbiz.de/10009003604
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