Estimation of tail risk and moments using option prices with a novel pricing model under a distorted lognormal distribution
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Publication:2193302
DOI10.1155/2020/1603509zbMath1459.91218MaRDI QIDQ2193302
Yan Chen, Chengli Zheng, Ya Cai
Publication date: 25 August 2020
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2020/1603509
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G60: Numerical methods (including Monte Carlo methods)
91G70: Statistical methods; risk measures
91G20: Derivative securities (option pricing, hedging, etc.)