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

DOI10.1007/S11147-022-09187-XzbMATH Open1501.91165OpenAlexW4283211290MaRDI QIDQ2096151FDOQ2096151

Authors: 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

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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
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Martingales and arbitrage in multiperiod securities markets
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Option pricing when underlying stock returns are discontinuous
• Martingales and stochastic integrals in the theory of continuous trading
• Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
• Optimal positioning in derivative securities
• Gram-Charlier densities.
• The implied volatility smirk
• What is the expected return on the market?
• Gram-Charlier processes and applications to option pricing

Cited In (3)

• The Edgeworth and Gram-Charlier densities
• Gram-Charlier densities: maximum likelihood versus the method of moments
• Retrieving risk neutral densities based on risk neutral moments through a Gram-Charlier series expansion

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