Keywords
KurtosisLog-normal distributionValuation of optionsSkewnessValuation (finance)Call optionMathematicsEconometricsBlack–Scholes modelRandom variableApplied mathematicsEconomicsStatisticsFinanceVolatility (finance)
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Publication Info
- Year
- 1982
- Type
- article
- Volume
- 10
- Issue
- 3
- Pages
- 347-369
- Citations
- 620
- Access
- Closed
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Cite This
Robert A. Jarrow,
Andrew Rudd
(1982).
Approximate option valuation for arbitrary stochastic processes.
Journal of Financial Economics
, 10
(3)
, 347-369.
https://doi.org/10.1016/0304-405x(82)90007-1
Identifiers
- DOI
- 10.1016/0304-405x(82)90007-1