Information content of cross-sectional o
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Brice Dupoyet
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Article
📅
2005
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John Wiley and Sons
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English
⚖ 229 KB
👁 1 views
## Abstract This article implements a currency option pricing model for the general case of stochastic volatility, stochastic interest rates, and jumps in an attempt to reconcile levels of risk‐neutral skewness and kurtosis with observed option prices on the Japanese yen and to analyze the informat