Narrow Results

This paper presents a method for approximating the underlying stock’s distribution by using a Log–Skew–Normal mixture distribution. The basic properties of a mixture of Skew–Normal distributions are reviewed in this paper. We provide a formula for the European option price by assuming that the log price follows a Skew–Normal mixture distribution. We also calculate the “Greeks”, such as delta, gamma and vega. We compare the proposed model with other existing models and consider an example of calibration to real market option data.

We obtain some sufficient conditions on the number of non-(sub)normal non-abelian subgroups of a finite group to be solvable, which extend a result of Shi and Zhang in 2011.