non-gaussian option pricing(Lisa Borland)

zaher · September 5th, 2005, 10:14 am

Hi, Has anyone tried finding option prices by simulation of the non-gaussian model with skew(dS=rSdt+sigma*(S^alpha)(S0^1-alpha)domega,domega=(P(omega))^1-q*dz..I'm getting strange things...and I'm not sure if this is because of the starting point of the simulation..any help?[

Quixote · September 7th, 2005, 2:40 pm

Hey Zaher, would you be willing to share the paper where you got this technique?

zaher · September 8th, 2005, 6:40 am

Quixote, the paper can be googled(non -gaussian option pricing with skew,from lisa borland)..