Statistical distributions, european option, american option, and option bounds

Cheng Few Lee

doi:10.1142/9789811202391_0085

Statistical distributions, european option, american option, and option bounds

Cheng Few Lee

Rutgers Business School, Finance & Economics

Research output: Chapter in Book/Report/Conference proceeding › Chapter

Abstract

In this chapter, we first review the basic theory of normal and log-normal distribution and their relationship, then bivariate and multivariate normal density function are analyzed in detail. Next, we discuss American options in terms of random dividend payment. We then use bivariate normal density function to analyze American options with random dividend payment. Computer programs are used to show how American co-options can be evaluated. Finally, pricing option bounds are analyzed in some detail.

Original language	English (US)
Title of host publication	Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (In 4 Volumes)
Publisher	World Scientific Publishing Co.
Pages	2929-2964
Number of pages	36
ISBN (Electronic)	9789811202391
ISBN (Print)	9789811202384
DOIs	https://doi.org/10.1142/9789811202391_0085
State	Published - Jan 1 2020

All Science Journal Classification (ASJC) codes

Economics, Econometrics and Finance(all)
Business, Management and Accounting(all)

Keywords

American option
Log-normal distribution
Multivariate log-normal distribution
Multivariate normal distribution
Normal distribution
Option bound

Access to Document

10.1142/9789811202391_0085

Cite this

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KW - Log-normal distribution

KW - Multivariate log-normal distribution

KW - Multivariate normal distribution

KW - Normal distribution

KW - Option bound

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PB - World Scientific Publishing Co.

ER -

Statistical distributions, european option, american option, and option bounds

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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