Modeling Stock Return Distributions and Pricing Options
Mathematical Finance
2025-03-12 v1
Abstract
This paper provides evidence that stock returns, after truncation, might be modeled by a special type of continuous mixtures or normals, so-called -Gaussians. Negative binomial distributions might model the counts for extreme returns. A generalized jump-diffusion model is proposed, and an explicit option pricing formula is obtained.
Keywords
Cite
@article{arxiv.2503.08666,
title = {Modeling Stock Return Distributions and Pricing Options},
author = {Xinxin Jiang},
journal= {arXiv preprint arXiv:2503.08666},
year = {2025}
}