Option Pricing Based on the Generalized Lambda Distribution
29 Pages Posted: 4 Feb 2001
The generalized lambda distribution is proposed as a useful model for security price distributions. Originally used to generate random variables with varied skewness and kurtosis values in Monte Carlo simulations, proposed financial applications include estimation of state price densities from option prices and VaR simulations based on a multivariate version of the generalized lambda distribution.
Note: This is a description and is not the actual abstract.
Keywords: Option pricing, Monte Carlo simulations, Generalized lambda
JEL Classification: C14, C15, G13
Suggested Citation: Suggested Citation