Application of Extended Normal Distribution in Option Price Sensitivities
Gangadhar Nayak,
Subhranshu Sekhar Tripathy,
Agbotiname Lucky Imoize
et al.
Abstract: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 price sensitivities for risk management in investment portfolios, the existing literature lacks a thorough exploration of these sensitivities within the context of the extended normal distribution. This article addr… Show more
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