Skewed Normal Distribution Of Return Assets In Call European Option Pricing

• Main Author: Evy Sulistianingsih (Author)
• Format: Book
• Published: Universitas Negeri Semarang, 2011-06-01T00:00:00Z.
• Subjects: article
• Online Access: Connect to this object online.
• Notes: 2086-2334; 2442-4218; 10.15294/kreano.v2i1.1241
• Keywords: Education; L; Mathematics; QA1-939
• Source: Kreano: Jurnal Matematika Kreatif-Inovatif, Vol 2, Iss 1, Pp 1-12 (2011)

<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>