Short Option Maturity Term Structures of Skewness and Excess Kurtosis*

DOI10.1080/1350486X.2024.2377957MaRDI QIDQ6671995FDOQ6671995

Authors: Dilip B. Madan, K.-H. Wang 

Publication date: 27 January 2025

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

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Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

Cites Work

• The pricing of options and corporate liabilities
• Bilateral gamma distributions and processes in financial mathematics
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Title not available (Why is that?)
• Processes of normal inverse Gaussian type
• Hyperbolic distributions in finance
• Title not available (Why is that?)
• The Variance Gamma Process and Option Pricing
• THE RANGE OF TRADED OPTION PRICES
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• Post-'87 crash fears in the S\&P 500 futures option market
• Self-similar processes with independent increments
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Option pricing using variance gamma Markov chains
• Option implied VIX, skew and kurtosis term structures
• Measuring and monitoring the efficiency of markets
• Additive processes with bilateral gamma marginals
• Additive logistic processes in option pricing
• Théorie de l'addition des variables aléatoires.
• The economics of time as it is embedded in the prices of options§

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