A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction
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- 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.
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- Andreou, Panayiotis C. & Charalambous, Chris & Martzoukos, Spiros H., 2010. "Generalized parameter functions for option pricing," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 633-646, March.
- 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.
- Chateau, Jean-Pierre D., 2011. "Contribution à la réglementation de Bâle-3 : de la consistance interne du continuum du crédit commercial en marquant à la « valeur de modèle » le risque de crédit des engagements de crédit," L'Actualité Economique, Société Canadienne de Science Economique, vol. 87(4), pages 445-479, décembre.
- 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.
- Chevallier, Julien & Ielpo, Florian & Mercier, Ludovic, 2009. "Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event," Energy Policy, Elsevier, vol. 37(1), pages 15-28, January.
- 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.
- Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
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