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

Research output: Chapter in Book/Report/Conference proceedingChapter


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 languageEnglish (US)
Title of host publicationHandbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (In 4 Volumes)
PublisherWorld Scientific Publishing Co.
Number of pages36
ISBN (Electronic)9789811202391
ISBN (Print)9789811202384
StatePublished - Jan 1 2020

All Science Journal Classification (ASJC) codes

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


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


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