Alternative option pricing models incorporating higher moments and non-restrictive distributions
A new method of inferring moments of risk-neutral probability density function that is consistent with the traded option prices is developed. Incorporating the market inferred moments of the risk-neutral probability density function is a practical way to overcome the need for using different volatil...
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Format: | Theses and Dissertations |
Language: | English |
Published: |
2008
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Online Access: | http://hdl.handle.net/10356/7245 |
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Institution: | Nanyang Technological University |
Language: | English |