✦ LIBER ✦
The hidden martingale restriction in Gram-Charlier option prices
✍ Scribed by Charles Corrado
- Publisher
- John Wiley and Sons
- Year
- 2007
- Tongue
- English
- Weight
- 163 KB
- Volume
- 27
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
Abstract
A hidden martingale restriction is developed for option pricing models based on Gram–Charlier expansions of the normal density function. The restriction is hidden behind a reduction in parameter space for the Gram–Charlier expansion coefficients. The resulting restriction is invisible in the option price. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27: 517–534, 2007