Parametric pricing of higher order moments in S&P500 options
نویسندگان
چکیده
منابع مشابه
Parametric Pricing of Higher Order
A general parametric framework based on the generalized Student t distribution is developed for pricing S&P500 options. Higher order moments in stock returns as well as time-varying volatility are priced. An important computational advantage of the proposed framework over Monte Carlo-based pricing methods is that options can be priced using one-dimensional quadrature integration. The empirical ...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2005
ISSN: 0883-7252,1099-1255
DOI: 10.1002/jae.762