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Polynomial-Normal extension of Black-Scholes model Open Access

Descriptions

Other title
Subject/Keyword
Polynomial-Normal
Black-Scholes
Gram-Charlier
Type of item
Thesis
Degree grantor
University of Alberta
Author or creator
Li, Hao
Supervisor and department
Alexander Melnikov (Math and Stat Sciences)
Examining committee member and department
Vladyslav Yaskin (Math and Stat Sciences)
Byron Schmuland (Math and Stat Sciences)
Csaba Szepesvari (Computing Science)
Alexander Melnikov (Math and Stat Sciences)
Department
Department of Mathematical and Statistical Sciences
Specialization

Date accepted
2009-10-01T16:25:36Z
Graduation date
2009-11
Degree
Master of Science
Degree level
Master's
Abstract
Black-Scholes Model is a widely used mathematical model for stock price behaviors, of which the return is assumed to be normally distributed. But this 'normally distributed' assumption is doubted and proved to be not true by realistric data. The main goal of this thesis is to explore polynomial-normal distribution, and use this distribution in the stock return, as a non-normal extension of the Black-Scholes Model. We will develop the properties of polynomial-normal distribtuion in the thesis, and also give the European call and put option price formulas under this model, and show how to use this model to estimate real stock returns.
Language
English
DOI
doi:10.7939/R3G99Q
Rights
Permission is hereby granted to the University of Alberta Libraries to reproduce single copies of this thesis and to lend or sell such copies for private, scholarly or scientific research purposes only. Where the thesis is converted to, or otherwise made available in digital form, the University of Alberta will advise potential users of the thesis of these terms. The author reserves all other publication and other rights in association with the copyright in the thesis and, except as herein before provided, neither the thesis nor any substantial portion thereof may be printed or otherwise reproduced in any material form whatsoever without the author's prior written permission.
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