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.
| Identifer | oai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:AEU.10048/688 |
| Date | 11 1900 |
| Creators | Li, Hao |
| Contributors | Alexander Melnikov (Math and Stat Sciences), Byron Schmuland (Math and Stat Sciences), Alexander Melnikov (Math and Stat Sciences), Vladyslav Yaskin (Math and Stat Sciences), Csaba Szepesvari (Computing Science) |
| Source Sets | Library and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada |
| Language | English |
| Detected Language | English |
| Type | Thesis |
| Format | 416887 bytes, application/pdf |
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