The hidden martingale restriction in Gram-Charlier option prices
| Data(s) |
01/06/2007
|
|---|---|
| Resumo |
A hidden martingale restriction is developed for option pricing models based on Gram-Charlier expansions of the normal density function. The restriction is hidden behind a reduction in parameter space for the Gram-Charlier expansion coefficients. The resulting restriction is invisible in the option price.<br /> |
| Identificador | |
| Idioma(s) |
eng |
| Publicador |
John Wiley & Sons |
| Relação |
http://dro.deakin.edu.au/eserv/DU:30019568/corrado-hiddenmartingale-2007.pdf http://dx.doi.org/10.1002/fut.20255 |
| Direitos |
2007, Wiley Periodicals, Inc. |
| Palavras-Chave | #securities prices #options trading #probability #studies |
| Tipo |
Journal Article |
