Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk
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References listed on IDEAS
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- Sofiane Aboura & Didier Maillard, 2016.
"Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion,"
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- Sofiane Aboura & Didier Maillard, 2016. "Option Pricing Under Skewness and Kurtosis Using a Cornish-Fisher Expansion," Post-Print halshs-01348685, HAL.
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- 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.
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More about this item
KeywordsSwaption; CMS; Affine term structure model; Convexity adjustment; Credit derivative; Survival contingent measure;
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