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Option Pricing by Probability Distortion Operator Based on the Quantile Function
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-06-16
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
A new class of distortion operators based on quantile function is proposed for pricing options.
It is shown that option prices obtained with our distortion operators are just the prices under mean correcting martingale measure in exponential Lévy models.
In particular, Black-Scholes formula can be recuperated by our distortion operator.
Simulation analysis shows that our distortion operator is superior to normal distortion operator and NIG distortion operator.
American Psychological Association (APA)
Yao, Luogen& Yang, Gang. 2019. Option Pricing by Probability Distortion Operator Based on the Quantile Function. Mathematical Problems in Engineering،Vol. 2019, no. 2019, pp.1-9.
https://search.emarefa.net/detail/BIM-1196237
Modern Language Association (MLA)
Yao, Luogen& Yang, Gang. Option Pricing by Probability Distortion Operator Based on the Quantile Function. Mathematical Problems in Engineering No. 2019 (2019), pp.1-9.
https://search.emarefa.net/detail/BIM-1196237
American Medical Association (AMA)
Yao, Luogen& Yang, Gang. Option Pricing by Probability Distortion Operator Based on the Quantile Function. Mathematical Problems in Engineering. 2019. Vol. 2019, no. 2019, pp.1-9.
https://search.emarefa.net/detail/BIM-1196237
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1196237