A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction*
Author:
Affiliation:
1. a ESCP-EAP European School of Management, Finance Dept. , Paris cedex 13
2. b A.A. Advisors/QCG (ABN Amro Group) , Paris cedex 13
3. c Variances , Paris cedex 13
4. d TEAM/CNRS - University of Paris-1 , 106 bv de 1'hôpital F75647, Paris cedex 13
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697680400020309
Reference21 articles.
1. Do Call Prices and the Underlying Stock Always Move in the Same Direction?
2. Financial Calculus
3. The Pricing of Options and Corporate Liabilities
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