4
votes
0answers
86 views

Finding the dynamics of a dividend paying asset under arbitrary numeraire

Assuming I have a dividend paying asset $S$ with dividend process $D$. Now I would like to use the bank account process $B$ as numeraire and determine the dynamics of $S$ under the the corresponding ...
0
votes
2answers
204 views

Change option B&S pricing

Consider a market composed by two stocks whose prices $X$ and $Y$ are given by B&S diffusion $$dX_t= \mu X_t dt+ \sigma X_tdW_t$$ $$dY_t= \mu Y_t dt+ \sigma Y_tdB_t$$ Supposing the market is ...
2
votes
1answer
219 views

What are $d_1$ and $d_2$ for Laplace?

What are the formulae for d1 & d2 using a Laplace distribution?
4
votes
5answers
809 views

How to improve the Black-Scholes framework?

Since the distribution of daily returns are obviously not lognormal, my bottom line question is has BS been reworked for a better fitting distribution? Google searches give me nada. The best dist ...