Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk
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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.
- 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.
- Schlögl, Erik, 2013. "Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 611-632.
- Kazuki Nagashima & Tsz-Kin Chung & Keiichi Tanaka, 2014. "Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(4), pages 351-396, November.
More about this item
KeywordsSwaption; CMS; Affine term structure model; Convexity adjustment; Credit derivative; Survival contingent measure;
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