Global optimization of higher order moments in portfolio selection
β Scribed by Dietmar Maringer; Panos Parpas
- Publisher
- Springer US
- Year
- 2007
- Tongue
- English
- Weight
- 370 KB
- Volume
- 43
- Category
- Article
- ISSN
- 0925-5001
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## Abstract A general parametric framework based on the generalized Student __t__βdistribution is developed for pricing S&P500 options. Higher order moments in stock returns as well as timeβvarying volatility are priced. An important computational advantage of the proposed framework over Monte Carl
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