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

DOI10.1007/S11147-022-09187-XMaRDI QIDQ2096151zbMATHOpenAlexFDO

Authors Pakorn Aschakulporn, Jin E. Zhang

Publication date 16 November 2022

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

Copyright license Creative Commons Attribution 4.0 International

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)

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Cites work

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

Cited in

(3)

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

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