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Pricing derivatives written on assets with arbitrary skewness and kurtosis · Study

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ChapterPricing derivatives written on assets with arbitrary skewness and kurtosis

John L Knight2001

Chapter2001

Pricing derivatives written on assets with arbitrary skewness and kurtosis

John L Knight · Stephen Satchell

28 citations·0/0 files stored·Elsevier eBooks

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

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References

1985The equity premium: A puzzle 1976The Valuation of Uncertain Income Streams and the Pricing of Options 1982Approximate option valuation for arbitrary stochastic processes 1979The Pricing of Contingent Claims in Discrete Time Models 1997Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis 1996SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES 1993Option Valuation with Systematic Stochastic Volatility 1994CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS

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2018Risk-Neutral Densities: A Reviewreview · 7 shared references 2013Forecasting with Option-Implied Informationchapter · 5 shared references 2001Interpreting the Volatility Smile: An Examination of the Information Content of Option Pricesarticle · 5 shared references 2001Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approacharticle · 4 shared references 2004Option-Implied Risk-Neutral Distributions and Risk Aversionbook · 4 shared references 2004Risk‐Neutral Parameter Shifts and Derivatives Pricing in Discrete Timearticle · 4 shared references

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Year2001

Typechapter

Published2001-01-01

VenueElsevier eBooks

Languageen

Citations28

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/b978-075064751-9.50010-2

openalex_workW2500010331

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