An Elementary Expression of Density Function of Normal Laplace Distribution

Abstract

Properties such as infinite divisibility, skew, excess kurtosis and suitable model the heavy-tailed distribution characteristic of real finance asset yield make the Normal-Laplace distribution a good candidate model in option pricing. However, a few constraints to Normal-Laplace parameter and density function lack of the enclosed expression may lead to the traditional moment estimation and maximum likelihood estimation failure, therefore, we put forward elementary enclosed expression of density function of Normal-Laplace distribution under some special conditions, try to remedy above lack.