Skewed Normal Distribution Of Return Assets In Call European Option Pricing
Abstract: Option is one of
security derivates. In financial market, option is a contract that gives a
right (not the obligation) for its owner
to buy or sell a particular asset for a certain price at a certain time.
Option can give a guarantee for a risk that can be faced in a market.This paper
studies about the use of Skewed Normal Distribution (SN) in call europeanoption pricing. The SN
provides a flexible framework that captures the skewness of log return. We
obtain aclosed form solution for the european call option pricing when log
return follow the SN. Then, we will compare option prices that is obtained by
the SN and the Black-Scholes model with the option prices of market.
Author: EvySulistianingsih
Journal Code: jpmatematikagg110003
