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| Main Author: | |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2503.08666 |
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| _version_ | 1866913730453831680 |
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| author | Jiang, Xinxin |
| author_facet | Jiang, Xinxin |
| contents | This paper provides evidence that stock returns, after truncation, might be modeled by a special type of continuous mixtures or normals, so-called $q$-Gaussians. Negative binomial distributions might model the counts for extreme returns. A generalized jump-diffusion model is proposed, and an explicit option pricing formula is obtained. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2503_08666 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Modeling Stock Return Distributions and Pricing Options Jiang, Xinxin Mathematical Finance This paper provides evidence that stock returns, after truncation, might be modeled by a special type of continuous mixtures or normals, so-called $q$-Gaussians. Negative binomial distributions might model the counts for extreme returns. A generalized jump-diffusion model is proposed, and an explicit option pricing formula is obtained. |
| title | Modeling Stock Return Distributions and Pricing Options |
| topic | Mathematical Finance |
| url | https://arxiv.org/abs/2503.08666 |