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Correct option pricing with Laplace distribution #35

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rgaveiga opened this issue Dec 17, 2024 · 2 comments
Open

Correct option pricing with Laplace distribution #35

rgaveiga opened this issue Dec 17, 2024 · 2 comments
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@rgaveiga
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Look for a formula (or derive one) to properly take the replacement of (log)normal distribution by (log)Laplace distribution int the calculations.
@rgaveiga rgaveiga self-assigned this Dec 17, 2024
@rgaveiga rgaveiga added bug Something isn't working enhancement New feature or request question Further information is requested labels Dec 17, 2024
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The best thing to do is to remove this calculation with log Laplace.

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And put more effort in adding models such as Jump Diffusion and Stochastic volatility.

@rgaveiga rgaveiga added invalid This doesn't seem right and removed bug Something isn't working enhancement New feature or request labels Dec 19, 2024
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