Pricing Theory And Empirical Study About European Option When Stock Prices Obey Exponential Generalized Hyperbolic-levy Process

Option pricing is the foundation of creating new derivatives, making investment decision and risk control. Accurate description of underlying's distribution is a premise for reasonable pricing. On the other hand, Complex pricing models also need practical techniques to achieve vitality. These are tasks of Financial Engineering.This paper deals with pricing theory and empirical study about European option pricing when stock prices obey exponential Generalized hyperbolic levy process. Bao steel's call option is used as an example to realize the pricing techniques. This paper may be the first one which gives a full illustration of pricing theory and technical realization in this field in domestic academics.Risk neutral pricing method is used in this paper. First, generalized hyperbolic distribution function for daily return of stocks was estimated by maximum likelihood method, and AD, FOF...