Option pricing for a logstable asset price model

S. R. Hurst, Eckhard Platen () and S. T. Rachev

Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: The paper generalises the celebrated Black and Scholes [1] European option pricing formula for a class of logstable asset price models. The theoretical option prices have the potential to explain the implied volatility smiles evident in the market.

Keywords: Subordination; Stable processes; Option pricing; Implied volatility smile (search for similar items in EconPapers)
Pages: 15 pages
Date: 1999-01-01
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Citations: View citations in EconPapers (35)

Published in: Hurst, S. K., Platen, E. and Rachev, S., 1999, "Option Pricing For A Logstable Asset Price Model", Mathematical And Computer Modelling, 29(10-12), 105-119.

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