Application of Extended Normal Distribution in Option Price Sensitivities

Empirical evidence indicates that asset returns adhere to an extended normal distribution characterized by excessive kurtosis and non-zero skewness. Consequently, option prices derived from this distribution diverge from those predicted by the Black–Scholes model. Despite the significance of option...

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Bibliographic Details
Published in:Mathematics
Main Authors: Gangadhar Nayak, Subhranshu Sekhar Tripathy, Agbotiname Lucky Imoize, Chun-Ta Li
Format: Article
Language:English
Published: MDPI AG 2024-07-01
Subjects:
high-frequency trading
normal CDF
Q-function
option price
option Greeks
Online Access:https://www.mdpi.com/2227-7390/12/15/2346

Internet

https://www.mdpi.com/2227-7390/12/15/2346

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