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Jong, C.M. de; Huisman, R. - Erasmus Research Institute of Management (ERIM), ERIM … - 2000

-style options. We introduce a skewed version of the Student-t distribution, whose main advantage is that its shape depends on only … four parameters, of which two directly control for the levels of skewness and kurtosis. We can thus easily vary parameters … to compare different distributions and use the parameters as inputs to price other options. We explain the method …

Persistent link: https://www.econbiz.de/10004969837

On Smile and Skewness

Platen, Eckhard; Schweizer, Martin - University of Bonn, Germany - 1994

This paper proposes a new explanation for the smile and skewness effects in implied volatilities. Starting from a …

Persistent link: https://www.econbiz.de/10004968203

On the Dangers of Modelling through Continuous Distributions : A Bayesian Perspective

Fernández, C.; Steel, M.F.J. - Tilburg University, Center for Economic Research - 1997

We point out that Bayesian inference on the basis of a given sample is not always possible with continuous sampling models, even under a proper prior. The reason for this paradoxical situation is explained, and its empirical relevance is linked to coarse gathering of data, such as rounding. A...

Persistent link: https://www.econbiz.de/10011090902

Hierarchical equilibria of branching populations

Yu, Hao - Départment des sciences administratives, Université … - 2003

In this paper we study high moment partial sum processes based on residuals of a stationary ARMA model with or without a unknown mean parameter. We show that they can be approximated in probability by the analogous processes which are obtained from the independent and identically distributed...

Persistent link: https://www.econbiz.de/10005710032