Short Option Maturity Term Structures of Skewness and Excess Kurtosis*

DOI10.1080/1350486X.2024.2377957MaRDI QIDQ6671995zbMATH OpenFDO

Authors Dilip B. Madan, K.-H. Wang

Publication date 27 January 2025

Published in Applied Mathematical Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

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• The Variance Gamma Process and Option Pricing The Variance Gamma Process and Option Pricing
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