Mathematical Problems in Engineering / 2020 / Article / Tab 3

Research Article

Estimation of Tail Risk and Moments Using Option Prices with a Novel Pricing Model under a Distorted Lognormal Distribution

Table 3

Descriptive statistics of and .

TCall (m)Put ()
MaxMinMeanStdSkewnessKurtosisMaxMinMeanStdSkewnessKurtosis

0.035.15−0.51−0.170.585.4639.50−0.27−71.41−10.411.5−2.028.69
0.14.82−0.65−0.170.546.9956.60−0.09−48.17−4.796.64−3.0915.90
0.20.30−0.67−0.210.17−1.484.78−0.05−24.93−3.344.34−2.379.67
0.281.55−0.66−0.160.332.7915.12−0.06−9.05−2.622.65−0.802.41
0.353.11−0.66−0.010.633.2814.05−0.08−24.90−4.014.98−1.846.79
0.61.17−0.62−0.140.252.3014.18−0.11−18.97−3.023.70−1.957.40
0.850.65−0.54−0.160.150.8711.16−0.13−24.92−3.304.22−2.4710.97
0.951.32−0.58−0.110.293.2115.62−0.15−23.90−3.014.04−2.5811.36
1.350.02−0.48−0.140.12−0.713.47−0.17−19.52−2.553.29−2.8212.63
1.870.03−0.37−0.130.100.011.74−0.19−16.26−2.412.82−2.4310.20
2.870.02−0.31−0.130.11−0.231.60−0.27−12.72−1.842.04−2.8713.29

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