Short Option Maturity Term Structures of Skewness and Excess Kurtosis*
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Publication:6671995
DOI10.1080/1350486X.2024.2377957MaRDI QIDQ6671995
Dilip B. Madan, King-Hang Wang
Publication date: 27 January 2025
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Cites Work
- Title not available (Why is that?)
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- The pricing of options and corporate liabilities
- Processes of normal inverse Gaussian type
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- Hyperbolic distributions in finance
- Post-'87 crash fears in the S\&P 500 futures option market
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- Théorie de l'addition des variables aléatoires.
- THE RANGE OF TRADED OPTION PRICES
- SELF-DECOMPOSABILITY AND OPTION PRICING
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- MEASURING AND MONITORING THE EFFICIENCY OF MARKETS
- The Variance Gamma Process and Option Pricing
- Additive Processes with Bilateral Gamma Marginals
- OPTION IMPLIED VIX, SKEW AND KURTOSIS TERM STRUCTURES
- The economics of time as it is embedded in the prices of options§
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