Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: a Gram-Charlier density approach

DOI10.1007/s11147-022-09187-xzbMath1501.91165OpenAlexW4283211290MaRDI QIDQ2096151

Pakorn Aschakulporn, Jin E. Zhang

Publication date: 16 November 2022

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-022-09187-x

zbMATH Keywords

kurtosisskewnessGram-Charlier densitiesrisk-neutral moment estimators

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Gram-Charlier processes and applications to option pricing
• The implied volatility smirk
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Optimal positioning in derivative securities
• What is the Expected Return on the Market?*
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• Gram-Charlier densities.

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