Tail Risk Signal Detection through a Novel EGB2 Option Pricing Model
Connecting derivative pricing with tail risk management has become urgent for financial practice and academia. This paper proposes a novel option pricing model based on the exponential generalized beta of the second kind (EGB2) distribution. The newly proposed model is of generality, simplicity, rob...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-07-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/14/3194 |