Mathematical Problems in Engineering / 2020 / Article / Tab 5

Research Article

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

Table 5

Second range moment for : left tail.

k
NSONSDISDINSONSDISDI

10.04100.04090.05860.03310.03210.0459
20.04230.04070.05840.03510.03210.0459
30.03650.04040.05820.02750.03170.0457
40.03340.04050.05840.02520.03190.0459
50.04280.04070.05830.03850.03240.0461
600.04040.058100.03170.0457

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