Gram-Charlier Processes and Applications to Option Pricing

A Gram-Charlier distribution has a density that is a polynomial times a normal density. For option pricing this retains the tractability of the normal distribution while allowing nonzero skewness and excess kurtosis. Properties of the Gram-Charlier distributions are derived, leading to the definitio...

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Bibliographic Details
Main Authors: Jean-Pierre Chateau, Daniel Dufresne
Format: Article
Language:English
Published: Wiley 2017-01-01
Series:Journal of Probability and Statistics
Online Access:http://dx.doi.org/10.1155/2017/8690491
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