The hidden martingale restriction in Gram-Charlier option prices
Article Abstract:
The development of a hidden martingale restriction to model the pricing of options based on Gram-Charlier expansions of the normal density function is described.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
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On the errors and comparison of Vega estimation methods
Article Abstract:
An analysis of the problems in calculating sensitivity of options to volatility (Vega) is furnished.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
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