A Comparative Analysis of Option Pricing Models Under Jump Dynamics, Skewness, and Non-Normal Kurtosis
The Black-Scholes model assumes log-normal stock returns with constant volatility, yet empirical evidence reveals significant deviations, including skewness and excess kurtosis in financial markets. To better capture these characteristics, extended models incorporating jump processes and non-normal...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | fas |
| Published: |
University of Isfahan
2025-12-01
|
| Series: | Journal of Asset Management and Financing |
| Subjects: | |
| Online Access: | https://amf.ui.ac.ir/article_29408_4726acf6619f001e1c80d3031ad868e3.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|