A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction*

DOI10.1080/14697680400020309zbMath1405.91629OpenAlexW2043098764MaRDI QIDQ4610256

Emmanuel Jurczenko, Bogdan Negrea, Bertrand Maillet

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680400020309

zbMATH Keywords

kurtosisskewnessmartingale restrictionoption pricing models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Unnamed Item
• Martingales and arbitrage in multiperiod securities markets
• Gram-Charlier densities.

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