Kim, Joocheol; Heo, Jeonggyu - Economic Research Institute, College of Business and … - 2014
Although the market prefers the Black-Scholes model, there are problems that the BS model doesn¡¯t reflect the skewness or kurtosis of the return distribution. Under the GEV model, Markose(2001) derives the closed-form solutions for vanilla options, and also removes the distortion of the...