The hidden martingale restriction in Gram‐Charlier option prices
Year: 2007
Type: article
Abstract: A hidden martingale restriction is developed for option pricing models based on Gram–Charlier expansions of the normal density function. The restriction is hidden behind a reduction in parameter space for the Gram–Charlier expansion coefficients. The resulting restriction is invisible in the option price. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27: 517–534, 2007
Source: Journal of Futures Markets
DOI: 10.1002/fut.20255
Author: Charles Corrado
Institution: Massey University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1969544484