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- W3122632559 abstract "A growing body of literature suggests that heavy tailed distributions represent an adequate model for the observations of log returns of stocks. Motivated by these findings, here we develop a discrete time framework for pricing of European options. Probability density functions of log returns for different periods are conveniently taken to be convolutions of the Student's t-distribution with three degrees of freedom. The supports of these distributions are truncated in order to obtain finite values for the options. Within this framework, options with different strikes and maturities for one stock rely on a single parameter -- the standard deviation of the Student's t-distribution for unit period. We provide a study which shows that the distribution support width has weak influence on the option prices for certain range of values of the width. It is furthermore shown that such family of truncated distributions approximately satisfies the no-arbitrage principle and the put-call parity. The relevance of the pricing procedure is empirically verified by obtaining remarkably good match of the numerically computed values by our scheme to real market data." @default.
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- W3122632559 date "2018-07-01" @default.
- W3122632559 modified "2023-09-27" @default.
- W3122632559 title "Option Pricing with Heavy-Tailed Distributions of Logarithmic Returns" @default.
- W3122632559 hasPublicationYear "2018" @default.
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