Option Pricing Based on the Generalized Lambda Distribution

Corrado, Charles J.

doi:10.2139/ssrn.248696

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Option Pricing Based on the Generalized Lambda Distribution

29 Pages Posted: 4 Feb 2001

See all articles by Charles J. Corrado

Charles J. Corrado

Deakin University - School of Accounting, Economics & Finance

Abstract

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

Corrado, Charles J., Option Pricing Based on the Generalized Lambda Distribution. Available at SSRN: https://ssrn.com/abstract=248696 or http://dx.doi.org/10.2139/ssrn.248696