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dc.contributor.authorFischer, Matthias J.en_US
dc.date.accessioned2009-11-19en_US
dc.date.accessioned2010-01-13T14:06:25Z-
dc.date.available2010-01-13T14:06:25Z-
dc.date.issued2000en_US
dc.identifier.urihttp://hdl.handle.net/10419/29585-
dc.description.abstractWith the celebrated model of Black and Scholes in 1973 the development of modern option pricing models started. One of the assumptions of the Black and Scholes model ist that the risky asset evolves according to the geometric brownian motion which implies normal distributed returns. As empirical investigations show, the stock returns do not follow a normal distributions, but are leptokurtic and to some extend skewed. The following paper proposes so-called Esscher-EGB2 option pricing model, where the price process is modeled by an exponential EGB2-Levy-motion, implying that the returns follow an EGB2 distribution and the equivalent martingale measure is given by the Esscher transformationen_US
dc.language.isogeren_US
dc.publisherUniversität Erlangen-Nürnberg, Lehrstuhl für Statistik und empirische Wirtschaftsforschung Nürnbergen_US
dc.relation.ispartofseriesDiskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 31/2000en_US
dc.subject.ddc330en_US
dc.titleThe Esscher-EGB2 option pricing modelen_US
dc.typeWorking Paperen_US
dc.identifier.ppn613121457en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:faucse:312000-
Appears in Collections:Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg

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