Skewed Normal Distribution Of Return Assets In Call European Option Pricing
<p>Option is one of security derivates. In financial market, option is a contract that gives a right (not<br />the obligation) for its owner to buy or sell a particular asset for a certain price at a certain time.<br />Option can give a guarantee for a risk that can be faced in a m...
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Universitas Negeri Semarang,
2011-06-01T00:00:00Z.
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| Summary: | <p>Option is one of security derivates. In financial market, option is a contract that gives a right (not<br />the obligation) for its owner to buy or sell a particular asset for a certain price at a certain time.<br />Option can give a guarantee for a risk that can be faced in a market.This paper studies about the<br />use of Skewed Normal Distribution (SN) in call europeanoption pricing. The SN provides a<br />flexible framework that captures the skewness of log return. We obtain aclosed form solution for<br />the european call option pricing when log return follow the SN. Then, we will compare option<br />prices that is obtained by the SN and the Black-Scholes model with the option prices of market.</p><p>Â </p><p><strong>Keywords:</strong> skewed normaldistribution, log return, options.</p> |
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| Item Description: | 2086-2334 2442-4218 10.15294/kreano.v2i1.1241 |