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Gram-Charlier expansions and option pricing
Gram-Charlier expansions provide a tractable way of fitting risk-neutral distributions to asset prices. This allows the model to capture skewness, excess kurtosis and higher moments in observed asset returns. Schlogl (2013) proposes a calibration method to ensure the fitted densities are valid and a...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2022
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