Valuing European put options under skewness and increasing [excess] kurtosis
Year of publication: |
2014
|
---|---|
Authors: | Chateau, Jean-Pierre D. |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 4.2014, 3, p. 160-177
|
Subject: | Skewness and Increasing Kurtosis in Gram-Charlier (GC) and Johnson Distributions | At-the-Money Overvaluation of Black's but Undervaluation of GC European Futures Put Values in Terms of Johnson's Ones | Value Differences Explained by the Put Time Component | EU-Staaten | EU countries | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Optionsgeschäft | Option trading |
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