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- W2119812215 abstract "This paper shows that FFT algorithm will be used to calculate the option prices according to characteristic functions of the stock log-prices. The statistical models of stock returns, the historical date of options, parameter estimation methods will be concerned. We will use the stable distribution to fit the Chinese stock market returns statistical distribution, and then compare with Black-Scholes formula." @default.
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- W2119812215 date "2011-07-01" @default.
- W2119812215 modified "2023-10-16" @default.
- W2119812215 title "Stable distribution and option pricing" @default.
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- W2119812215 doi "https://doi.org/10.1109/icmt.2011.6002644" @default.
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