Stochastic dominance arguments and the bounding of the generalized concave option price
Article Abstract:
The final expected value of a stock may also take into account the payment of dividends on the corresponding security. Moreover, the payment of dividends also influences the the dissemination of stock prices at expiry. Furthermore, transaction costs are also taken into account. Transaction costs also affect the expected payoffs of the strategies and its initial cost.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1998
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Option pricing based on the generalized lambda distribution
Article Abstract:
The use of the generalized lambda distribution as a way of modelling nonlognormal security price distributions is considered. The benefits of this approach include the ability to assign almost any combination of skewness and kurtosis values.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
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Maximum entropy in option pricing: a convex-spline smoothing method
Article Abstract:
Maximum entropy methods are utilized for option pricing.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
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