A note on skewness and kurtosis adjusted option pricing models under the martingale restriction
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Cites work
Cited in
(15)- Testing the martingale restriction for option implied densities
- Gram-Charlier processes and applications to option pricing
- Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
- A \textit{meta}-measure of performance related to both investors and investments characteristics
- Ai algorithms for fitting GARCH parameters to empirical financial data
- A general closed form option pricing formula
- scientific article; zbMATH DE number 5909250 (Why is no real title available?)
- Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
- Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis
- Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
- Using Triples to Assess Symmetry Under Weak Dependence
- Option-pricing formulas with skewness and kurtosis
- Option pricing with deep learning: a long short-term memory approach
- Pricing basket options with the first three moments of the basket: log-normal models and beyond
- Higher order asymptotic option valuation for non-Gaussian dependent returns
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