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A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction
Authors:
Emmanuel Jurczenko abc;
Bertrand Maillet bcd;
Bogdan Negrea d
| Affiliations: | a ESCP-EAP European School of Management, Finance Dept., Paris cedex 13 |
| b A.A. Advisors/QCG (ABN Amro Group), Paris cedex 13 | |
| c Variances, Paris cedex 13 | |
| d TEAM/CNRS - University of Paris-1, Paris cedex 13 |
DOI:
10.1080/14697680400020309
Publication Frequency:
8 issues per year
Number of References: 21
Formats available:
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(English)
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(English)
