The hidden martingale restriction in Gram-Charlier option prices
Article Abstract:
The development of a hidden martingale restriction to model the pricing of options based on Gram-Charlier expansions of the normal density function is described.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
Commodity & service prices, New Zealand, Usage, Prices and rates, Company pricing policy, Econometric models
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
User Contributions:
Comment about this article or add new information about this topic:
On the errors and comparison of Vega estimation methods
Article Abstract:
An analysis of the problems in calculating sensitivity of options to volatility (Vega) is furnished.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
United States, China, Volatility
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
User Contributions:
Comment about this article or add new information about this topic:
Subjects list: Analysis, Options (Finance)
Similar abstracts:
- Abstracts: The keys to motivation generation. Women's business. Take-off
- Abstracts: Celebrity firms: The social construction of market popularity. Enacting competitive wars: Competitive activity, language games, and market consequences
- Abstracts: Beyond high tech: early adopters of open innovation in other industries. Global network configuration for innovation: a study of international fibre innovation
- Abstracts: Major insider stock transactions. Major insider transactions
- Abstracts: International diversification and firm performance: the S-curve hypothesis. Partnering strategies and performance of SMEs' international joint ventures
This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.