Jurczenko, Emmanuel; Maillet, Bertrand; Negrea, Bogdan - In: Quantitative Finance 4 (2004) 5, pp. 479-488
Several authors have proposed series expansion methods to price options when the risk-neutral density is asymmetric and leptokurtic. Among these, Corrado and Su (1996) provide an intuitive pricing formula based on a Gram-Charlier Type A series expansion. However, their formula contains a...