Lin, Shin-Hung; Huang, Hung-Hsi; Li, Sheng-Han - In: The North American Journal of Economics and Finance 32 (2015) C, pp. 77-97
This study develops a truncated Gram–Charlier expansion (TGCE) option pricing model, which simultaneously considers the skewness, kurtosis and essentially truncated (bounded) interval in the underlying asset return. In addition to TGCE, a truncated Black–Scholes model is proposed also. The...
