Option pricing by probability distortion operator based on the quantile function (Q2298583): Difference between revisions

From MaRDI portal
ReferenceBot (talk | contribs)
Changed an Item
Created claim: Wikidata QID (P12): Q127680663, #quickstatements; #temporary_batch_1722205759638
 
Property / Wikidata QID
 
Property / Wikidata QID: Q127680663 / rank
 
Normal rank

Latest revision as of 23:37, 28 July 2024

scientific article
Language Label Description Also known as
English
Option pricing by probability distortion operator based on the quantile function
scientific article

    Statements

    Option pricing by probability distortion operator based on the quantile function (English)
    0 references
    0 references
    0 references
    20 February 2020
    0 references
    Summary: A new class of distortion operators based on quantile function is proposed for pricing options. It is shown that option prices obtained with our distortion operators are just the prices under mean correcting martingale measure in exponential Lévy models. In particular, Black-Scholes formula can be recuperated by our distortion operator. Simulation analysis shows that our distortion operator is superior to normal distortion operator and NIG distortion operator.
    0 references

    Identifiers