## Abstract A hidden martingale restriction is developed for option pricing models based on GramβCharlier expansions of the normal density function. The restriction is hidden behind a reduction in parameter space for the GramβCharlier expansion coefficients. The resulting restriction is invisible i
Martingale option pricing
β Scribed by J.L. McCauley; G.H. Gunaratne; K.E. Bassler
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 163 KB
- Volume
- 380
- Category
- Article
- ISSN
- 0378-4371
No coin nor oath required. For personal study only.
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