Tail Option Pricing Under Power Laws

Nassim Nicholas Taleb, Brandon Yarckin, Chitpuneet Mann, Damir Delic and Mark Spitznagel

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Abstract: We build a methodology that takes a given option price in the tails with strike $K$ and extends (for calls, all strikes > $K$, for puts all strikes $

Date: 2019-08, Revised 2023-03
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1908.02347

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