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The hidden martingale restriction in Gram-Charlier option prices

journal contribution
posted on 2007-06-01, 00:00 authored by Charles Corrado
A hidden martingale restriction is developed for option pricing models based on Gram-Charlier expansions of the normal density function. The restriction is hidden behind a reduction in parameter space for the Gram-Charlier expansion coefficients. The resulting restriction is invisible in the option price.

History

Journal

Journal of futures markets

Volume

27

Issue

6

Pagination

517 - 534

Publisher

John Wiley & Sons

Location

Malden, Mass.

ISSN

0270-7314

eISSN

1096-9934

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal

Copyright notice

2007, Wiley Periodicals, Inc.

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