Fabozzi, Frank; Tunaru, Radu; Albota, George - In: Quantitative Finance 9 (2009) 1, pp. 55-70
The departure in modelling terms from the log-normal distribution for option pricing has been largely driven by empirical observations on skewness. In recent years, the Weibull and generalized beta distributions have been used to fit the risk-neutral density from option prices. In this article,...