Option pricing based on a log-skew-normal mixture

DOI10.1142/S021902491550051XMaRDI QIDQ3467595zbMATH OpenOpenAlexFDO

Authors

Publication date 3 February 2016

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s021902491550051x

zbMATH Keywords

asymmetrykurtosisnon-normaloption pricingskew normal mixtures distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Recommendations

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Cites work

• An introduction to the mathematics of financial derivatives
• Finite mixture modelling using the skew normal distribution
• scientific article; zbMATH DE number 50118 (Why is no real title available?)
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
• Martingales and stochastic integrals in the theory of continuous trading

Cited in

(14)

• A mixture of generalized Tukey's g distributions
• Option pricing under a normal mixture distribution derived from the Markov tree model
• Option valuation with conditional skewness
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
• A standardized normal-Laplace mixture distribution fitted to symmetric implied volatility smiles
• Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis
• Linear approximation of option pricing in incomplete market
• scientific article; zbMATH DE number 1500698 (Why is no real title available?)
• Bivariate normal mixture spread option valuation
• Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing
• On the polynomial-normal model and option pricing
• Expansions for moments of logarithmic skew-normal extremes
• A recombining lattice option pricing model that relaxes the assumption of lognormality
• Option pricing for log-symmetric distributions of returns

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