Estimation of tail risk and moments using option prices with a novel pricing model under a distorted lognormal distribution

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

Mathematics Subject Classification ID

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.)