The Generalized Extreme Value Distribution, Implied Tail Index, and Option Pricing

Sheri Markose; Amadeo Alentorn

doi:10.3905/jod.2011.18.3.035

The Generalized Extreme Value Distribution, Implied Tail Index, and Option Pricing

Sheri Markose and Amadeo Alentorn

The Journal of Derivatives Spring 2011, 18 (3) 35-60; DOI: https://doi.org/10.3905/jod.2011.18.3.035

Sheri Markose

is a professor of economics at the University of Essex in Colchester, UK.

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For correspondence: scher@essex.ac.uk

Amadeo Alentorn

is head of quantitative research at Old Mutual Asset Managers in London, UK, and a visiting fellow at the University of Essex in Colchester, UK.

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For correspondence: amadeo.alentorn@gmail.com

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The Generalized Extreme Value Distribution, Implied Tail Index, and Option Pricing

Sheri Markose, Amadeo Alentorn

The Journal of Derivatives Feb 2011, 18 (3) 35-60; DOI: 10.3905/jod.2011.18.3.035

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The Generalized Extreme Value Distribution, Implied Tail Index, and Option Pricing

Sheri Markose, Amadeo Alentorn

The Journal of Derivatives Feb 2011, 18 (3) 35-60; DOI: 10.3905/jod.2011.18.3.035

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