The following pages link to Gram-Charlier densities. (Q5958096):
Displaying 50 items.
- Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order (Q318379) (← links)
- Pricing and hedging basket options with exact moment matching (Q343968) (← links)
- On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty (Q433181) (← links)
- Conditional VaR estimation using Pearson's type IV distribution (Q933511) (← links)
- Implied volatility and skewness surface (Q1621628) (← links)
- Multivariate generalized Gram-Charlier series in vector notations (Q1649162) (← links)
- Gram-Charlier processes and applications to option pricing (Q1658066) (← links)
- Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis (Q1658309) (← links)
- Linking Tukey's legacy to financial risk measurement (Q1659149) (← links)
- It only takes a few moments to hedge options (Q1734554) (← links)
- Entropy densities with an application to autoregressive conditional skewness and kurtosis. (Q1858911) (← links)
- Markowitz with regret (Q2002638) (← links)
- Approximation of probability density functions for PDEs with random parameters using truncated series expansions (Q2046192) (← links)
- The valid regions of Gram-Charlier densities with high-order cumulants (Q2075942) (← links)
- Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: a Gram-Charlier density approach (Q2096151) (← links)
- A \textit{meta}-measure of performance related to both investors and investments characteristics (Q2151684) (← links)
- General solutions of the heat equation (Q2164817) (← links)
- Gram-Charlier-like expansions of the convoluted hyperbolic-secant density (Q2301231) (← links)
- Kurtosis analysis in GARCH models with Gram-Charlier-like innovations (Q2324690) (← links)
- Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints (Q2343744) (← links)
- Impact of volatility clustering on equity indexed annuities (Q2374129) (← links)
- Optimal exercise strategies for operational risk insurance via multiple stopping times (Q2397959) (← links)
- A general closed form option pricing formula (Q2418424) (← links)
- Gram-Charlier densities: maximum likelihood versus the method of moments (Q2447407) (← links)
- Expressing a probability density function in terms of another PDF: a generalized Gram-Charlier expansion (Q2468699) (← links)
- Retrieving risk neutral densities based on risk neutral moments through a Gram-Charlier series expansion (Q2470214) (← links)
- Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models (Q2629585) (← links)
- Hermite expansion and estimation of monotonic transformations of Gaussian data (Q2811276) (← links)
- Incorporating higher moments into value-at-risk forecasting (Q3065537) (← links)
- Robust Misspecification Tests for the Heckman's Two-Step Estimator (Q3086363) (← links)
- Dynamic density forecasts for multivariate asset returns (Q3101653) (← links)
- Forecast Evaluation in the Presence of Unobserved Volatility (Q3157841) (← links)
- Gram–Charlier densities: a multivariate approach (Q3650967) (← links)
- DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION (Q4561981) (← links)
- A moment-based analytic approximation of the risk-neutral density of American options (Q4585684) (← links)
- A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction* (Q4610256) (← links)
- Comment: FDP vs FDR and the Effect of Conditioning (Q4648547) (← links)
- Conditional higher order moments in metal asset returns (Q5001119) (← links)
- Approximation methods for multiple period Value at Risk and Expected Shortfall prediction (Q5001182) (← links)
- Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models (Q5079360) (← links)
- Analytic expressions for the positive definite and unimodal regions of Gram-Charlier series (Q5093697) (← links)
- Tailoring the Gaussian Law for Excess Kurtosis and Skewness by Hermite Polynomials (Q5190583) (← links)
- A moment expansion approach to option pricing (Q5697340) (← links)
- Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market (Q5745649) (← links)
- Further exploration into the valid regions of Gram-Charlier densities (Q6136567) (← links)
- Closed-form option pricing for exponential Lévy models: a residue approach (Q6158398) (← links)
- Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures (Q6554222) (← links)
- Asymptotic expansions for market risk assessment: evidence in energy and commodity indices (Q6601932) (← links)
- Direct Semi-Parametric Estimation of the State Price Density Implied in Option Prices (Q6620938) (← links)
- The Edgeworth and Gram-Charlier densities (Q6649934) (← links)
