The hidden martingale restriction in Gram-Charlier option prices

Author:

Corrado Charles

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference45 articles.

1. , & (1996a). Estimation of riskneutral and statistical densities by Hermite polynomial approximation: With an application to eurodollar futures options (Federal Reserve Bank of Atlanta Working Paper 96–5). Atlanta, GA: Federal Reserve Bank of Atlanta.

2. , & (1996b). Pricing S&P 500 index options using a Hilbert space basis (Federal Reserve Bank of Atlanta Working Paper 96–21). Atlanta, GA: Federal Reserve Bank of Atlanta.

3. A moment expansion approach to option pricing

4. Pricing and hedging S&P 500 index options with Hermite polynomial approximation: empirical tests of Madan and Milne's model

5. , & (2004). Accounting for biases in Black–Scholes) (working paper;. New York: New York University, Stern School of Business.

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