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The hidden martingale restriction in Gram‐Charlier option prices

35 citations0/0 files storedJournal of Futures Markets

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

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

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 2003Options, Futures and Other Derivatives 1979Martingales and arbitrage in multiperiod securities markets 1978Prices of State-Contingent Claims Implicit in Option Prices 1994Implied Binomial Trees 1982Approximate option valuation for arbitrary stochastic processes

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2009Generalized parameter functions for option pricing

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