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...
| Huvudupphovsmän: | , , |
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| Materialtyp: | Artikel |
| Språk: | English |
| Publicerad: |
MDPI AG
2023-07-01
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| Serie: | Mathematics |
| Ämnen: | |
| Länkar: | https://www.mdpi.com/2227-7390/11/14/3194 |