Option pricing for a logstable asset price model

S. R. Hurst; E. Platen; S. T. Rachev

doi:10.1016/S0895-7177(99)00096-5

Option pricing for a logstable asset price model

S. R. Hurst^*, E. Platen, S. T. Rachev

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

38 Citations (Scopus)

Abstract

The paper generalises the celebrated Black and Scholes [1] European option pricing formula for a class of logstable asset price models. The theoretical option prices have the potential to explain the implied volatility smiles evident in the market.

Original language	English
Pages (from-to)	105-119
Number of pages	15
Journal	Mathematical and Computer Modelling
Volume	29
Issue number	10-12
DOIs	https://doi.org/10.1016/S0895-7177(99)00096-5
Publication status	Published - 1999

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title = "Option pricing for a logstable asset price model",

abstract = "The paper generalises the celebrated Black and Scholes [1] European option pricing formula for a class of logstable asset price models. The theoretical option prices have the potential to explain the implied volatility smiles evident in the market.",

keywords = "Implied volatility smile, Option pricing, Stable processes, Subordination",

author = "Hurst, {S. R.} and E. Platen and Rachev, {S. T.}",

year = "1999",

doi = "10.1016/S0895-7177(99)00096-5",

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AU - Hurst, S. R.

AU - Platen, E.

AU - Rachev, S. T.

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AB - The paper generalises the celebrated Black and Scholes [1] European option pricing formula for a class of logstable asset price models. The theoretical option prices have the potential to explain the implied volatility smiles evident in the market.

KW - Implied volatility smile

KW - Option pricing

KW - Stable processes

KW - Subordination

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U2 - 10.1016/S0895-7177(99)00096-5

DO - 10.1016/S0895-7177(99)00096-5

M3 - Article

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VL - 29

SP - 105

EP - 119

JO - Mathematical and Computer Modelling

JF - Mathematical and Computer Modelling

IS - 10-12

ER -

Option pricing for a logstable asset price model

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