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Skewness, kurtosis, and black-scholes option mispricing

✍ Scribed by R. Geske; W. Torous


Book ID
112939403
Publisher
Springer-Verlag
Year
1991
Tongue
English
Weight
611 KB
Volume
32
Category
Article
ISSN
0932-5026

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Pricing European Asian options with skew
✍ Keng-Hsin Lo; Kehluh Wang; Ming-Feng Hsu πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 336 KB

## Abstract Numerical valuation model is extended for European Asian options while considering the higher moments of the underlying asset return distribution. The Edgeworth binomial lattice is applied and the lower and upper bounds of the option value are calculated. That the error bound in pricing