英文标题：
《Explicit expressions for European option pricing under a generalized
skew normal distribution》
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作者：
Mahdi Doostparast
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最新提交年份：
2017
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英文摘要：
Under a generalized skew normal distribution we consider the problem of European option pricing. Existence of the martingale measure is proved. An explicit expression for a given European option price is presented in terms of the cumulative distribution function of the univariate skew normal and the bivariate standard normal distributions. Some special cases are investigated in a greater detail. To carry out the sensitivity of the option price to the skew parameters, numerical methods are applied. Some concluding remarks and further works are given. The results obtained are extensions of the results provided by [4].
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中文摘要：
在广义偏正态分布下，我们研究了欧式期权定价问题。证明了鞅测度的存在性。根据一元斜正态分布和二元标准正态分布的累积分布函数，给出了给定欧式期权价格的显式表达式。对一些特殊情况进行了更详细的调查。为了研究期权价格对偏斜参数的敏感性，采用了数值方法。最后给出了一些结论和进一步的工作。所得到的结果是[4]所提供结果的扩展。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Statistics 统计学
二级分类：Applications 应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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