Option pricing for a logstable asset price model

Authors
Hurst, SR Platen, E Rachev, ST
Citation
Sr. Hurst et al., Option pricing for a logstable asset price model, MATH COMP M, 29(10-12), 1999, pp. 105-119
Citations number
17
Categorie Soggetti
Engineering Mathematics
Journal title
MATHEMATICAL AND COMPUTER MODELLING
ISSN journal
08957177 → ACNP
Volume
29
Issue
10-12
Year of publication
1999
Pages
105 - 119
Database
ISI
SICI code
0895-7177(199905/06)29:10-12<105:OPFALA>2.0.ZU;2-V
Abstract
The paper generalises the celebrated Black and Scholes [1] European option pricing formula for a class of logstable asset price models. The theoretica l option prices have the potential to explain the implied volatility smiles evident in the market. (C) 1999 Elsevier Science Ltd. All rights reserved.