that in Gram-Charlier expansions, parameters appear which directly control the skewness and kurtosis. Those expansions, of …

of future stock, or any other asset, returns from European call and put prices. Instead of options prices used by …

The Gram-Charlier expansion, where skewness and kurtosi directly appear as parameters, has become popular in Finance as …

Gram-Charlier expansions allow for a certain flexibility over skewness and kurtosis they have the unfortunate drawback of …

the (far less flexible) original model of Black and Scholes (1973), allowing non-trivial higher moments such as skewness …, excess kurtosis and so on to be incorporated into the pricing of exotic options: Generalising the Gram/Charlier Series A … market involving several currencies, can be used to ensure that the volatility smiles for options on the cross exchange rate …

Nous examinons l'information contenue dans un ensemble de prix d'options europeennes de change USD/DEM de dates et de … prix d'exercice differents. Nous rappelons le lien entre fonctions de prix d'etat et prix d'options europeennes ainsi que … les principes d'estimation de fonctions de prix d'etat a partir d'un ensemble de prix observes d'options. …

financial crisis. To this end, we derive risk-neutral densities from the implied volatilities of FX options, which approximate …-of-sample predictive power of indicators. The forecasting results suggest that models based on FX options are inferior to the random walk …

, predictable, and options appear calibrated to incorporate information about future jumps in all three markets. …