Article ID Journal Published Year Pages File Type
5055448 Economic Modelling 2011 4 Pages PDF
Abstract
► We investigate the impact of higher order moments in foreign equity option pricing. ► We use the Gram-Charlier series expansion to augment a normal density with two additional terms to capture the effects of skewness and kurtosis. ► The numerical results show that higher order moments have significant effects for the foreign equity option prices.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Accounting for the impact of higher order moments in foreign equity option pricing model
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