The Edgeworth and Gram-Charlier densities

DOI10.1142/S0219024924500201MaRDI QIDQ6649934FDOQ6649934

Authors: Pakorn Aschakulporn, Jin E. Zhang 

Publication date: 6 December 2024

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

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zbMATH Keywords

kurtosisskewnessGram-Charlier densityEdgeworth density

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
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Algorithms in real algebraic geometry
• Martingales and stochastic integrals in the theory of continuous trading
• Asymptotic Approximations to Distributions
• Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
• Gram-Charlier densities.
• P. L. Chebyshev (1821-1894). A guide to his life and work
• The implied volatility smirk
• On the representation of a density by an Edgeworth series
• The Early History of the Cumulants and the Gram‐Charlier Series
• Regions of positive and unimodal series expansion of the Edgeworth and Gram-Charlier approximations
• EFFICIENCY OF THE METHOD OF MOMENTS AND THE GRAM-CHARLIER TYPE A DISTRIBUTION
• The conditions under which Gram-Charlier and Edgeworth curves are positive definite and unimodal
• The refined positive definite and unimodal regions for the Gram-Charlier and Edgeworth series expansion
• On two theorems concerning probabilities.
• On the expansion of real functions in series by the method of least squares.
• The theory or probability. Some comments on Laplace's théorie analytique.
• The valid regions of Gram-Charlier densities with high-order cumulants
• Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: a Gram-Charlier density approach
• Beyond the quadratic formula
• Dissecting skewness under affine jump-diffusions
• Analytic expressions for the positive definite and unimodal regions of Gram-Charlier series
• The law of error.
• Further exploration into the valid regions of Gram-Charlier densities

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