Gram-Charlier processes and applications to option pricing
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Publication:1658066
DOI10.1155/2017/8690491zbMath1431.62471OpenAlexW2586730450WikidataQ59147023 ScholiaQ59147023MaRDI QIDQ1658066
Daniel Dufresne, Jean-Pierre Chateau
Publication date: 14 August 2018
Published in: Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2017/8690491
Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability distributions: general theory (60E05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models ⋮ Quantization goes polynomial ⋮ Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: a Gram-Charlier density approach
Cites Work
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