Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- K. J. Arrow, 1964. "The Role of Securities in the Optimal Allocation of Risk-bearing," Review of Economic Studies, Oxford University Press, vol. 31(2), pages 91-96.
- Jondeau, Eric & Rockinger, Michael, 2001. "Gram-Charlier densities," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1457-1483, October.
- Keiichi Tanaka & Takeshi Yamada & Toshiaki Watanabe, 2010. "Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk," Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 645-662.
- Emmanuel Jurczenko & Bertrand Maillet & Bogdan Negrea, 2004.
"A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction,"
Taylor & Francis Journals, vol. 4(5), pages 479-488.
- Bertrand Maillet & Bogdan Négréa, 2004. "A Note on Skewness and Kurtosis Adjusted Option Pricing Models under the Martingale Restriction," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308980, HAL.
- Robert JARROW & Andrew RUDD, 2008.
"Approximate Option Valuation For Arbitrary Stochastic Processes,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 1, pages 9-31
World Scientific Publishing Co. Pte. Ltd..
- Jarrow, Robert & Rudd, Andrew, 1982. "Approximate option valuation for arbitrary stochastic processes," Journal of Financial Economics, Elsevier, vol. 10(3), pages 347-369, November.
- LeÃ³n, Ã ngel & MencÃa, Javier & Sentana, Enrique, 2009.
"Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 27(2), pages 176-192.
- León, Ángel & Mencía, Javier & Sentana, Enrique, 2005. "Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation," CEPR Discussion Papers 5435, C.E.P.R. Discussion Papers.
- Ángel León & Javier Mencía & Enrique Sentana, 2007. "Parametric properties of semi-nonparametric distributions, with applications to option valuation," Working Papers 0707, Banco de España;Working Papers Homepage.
- Gallant, A Ronald & Nychka, Douglas W, 1987. "Semi-nonparametric Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 55(2), pages 363-390, March.
- Vahamaa, Sami, 2005. "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Journal of Economics and Business, Elsevier, vol. 57(1), pages 23-38.
- Marco Airoldi, 2005. "A moment expansion approach to option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 89-104.
- Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
- Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
- Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
- Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics 24950, London School of Economics and Political Science, LSE Library.
- Nikkinen, Jussi, 2003. "Impact of foreign ownership restrictions on stock return distributions: evidence from an option market," Journal of Multinational Financial Management, Elsevier, vol. 13(2), pages 141-159, April.
- Bates, David S., 2008. "The market for crash risk," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2291-2321, July.
- Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-186, March.
- Jackwerth, Jens Carsten & Rubinstein, Mark, 1996. " Recovering Probability Distributions from Option Prices," Journal of Finance, American Finance Association, vol. 51(5), pages 1611-1632, December.
- Christine A. Brown & David M. Robinson, 2002. "Skewness and Kurtosis Implied by Option Prices: A Correction," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(2), pages 279-282.
- Haven, Emmanuel & Liu, Xiaoquan & Ma, Chenghu & Shen, Liya, 2009. "Revealing the implied risk-neutral MGF from options: The wavelet method," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 692-709, March.
- Amin, Kaushik I & Ng, Victor K, 1997. "Inferring Future Volatility from the Information in Implied Volatility in Eurodollar Options: A New Approach," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 333-367.
- Bhupinder Bahra, 1997. "Implied risk-neutral probability density functions from option prices: theory and application," Bank of England working papers 66, Bank of England.
- Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November.
- Nikkinen, Jussi, 2003. "Normality tests of option-implied risk-neutral densities: evidence from the small Finnish market," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 99-116.
- Sami Vähämaa & Sebastian Watzka & Janne Äijö, 2005.
"What moves option‐implied bond market expectations?,"
Journal of Futures Markets,
John Wiley & Sons, Ltd., vol. 25(9), pages 817-843, September.
- Vähämaa, Sami & Watzka, Sebastian & Äijö, Janne, 2005. "What moves option-implied bond market expectations?," Munich Reprints in Economics 19704, University of Munich, Department of Economics.
- Canina, Linda & Figlewski, Stephen, 1993. "The Informational Content of Implied Volatility," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 659-681.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Harrison, J. Michael & Pliska, Stanley R., 1983. "A stochastic calculus model of continuous trading: Complete markets," Stochastic Processes and their Applications, Elsevier, vol. 15(3), pages 313-316, August.
- Beckers, Stan, 1981. "Standard deviations implied in option prices as predictors of future stock price variability," Journal of Banking & Finance, Elsevier, vol. 5(3), pages 363-381, September.
- Jorion, Philippe, 1995. " Predicting Volatility in the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 50(2), pages 507-528, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Sofiane Aboura & Didier Maillard, 2016.
"Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion,"
Journal of Futures Markets,
John Wiley & Sons, Ltd., vol. 36(12), pages 1194-1209, December.
- Sofiane Aboura & Didier Maillard, 2016. "Option Pricing Under Skewness and Kurtosis Using a Cornish-Fisher Expansion," Post-Print halshs-01348685, HAL.
- Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013. "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.
- De Col, Alvise & Gnoatto, Alessandro & Grasselli, Martino, 2013.
"Smiles all around: FX joint calibration in a multi-Heston model,"
Journal of Banking & Finance,
Elsevier, vol. 37(10), pages 3799-3818.
- Alvise De Col & Alessandro Gnoatto & Martino Grasselli, 2012. "Smiles all around: FX joint calibration in a multi-Heston model," Papers 1201.1782, arXiv.org, revised Jun 2013.
- Laurent Devineau & Pierre-Edouard Arrouy & Paul Bonnefoy & Alexandre Boumezoued, 2017. "Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion," Working Papers hal-01521491, HAL.
- Lin, Shin-Hung & Huang, Hung-Hsi & Li, Sheng-Han, 2015. "Option pricing under truncated Gram–Charlier expansion," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 77-97.
- Erik Schlögl & Lutz Schlögl, 2007. "Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing," Research Paper Series 190, Quantitative Finance Research Centre, University of Technology, Sydney.
- Fabozzi, Frank J. & Leccadito, Arturo & Tunaru, Radu S., 2014. "Extracting market information from equity options with exponential Lévy processes," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 125-141.
- Juan Arismendi, 2014. "A Multi-Asset Option Approximation for General Stochastic Processes," ICMA Centre Discussion Papers in Finance icma-dp2014-03, Henley Business School, Reading University.
- Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.
More about this item
KeywordsHermite expansion; Semi-nonparametric estimation; Risk-neutral density; Option-implied distribution; Exotic option; Currency option;
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- F31 - International Economics - - International Finance - - - Foreign Exchange
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:dyncon:v:37:y:2013:i:3:p:611-632. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jedc .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.