Journal article

Parametric pricing of higher order moments in S&P500 options

GC Lim, GM Martin, VL Martin

Journal of Applied Econometrics | WILEY | Published : 2005

DOI: 10.1002/jae.762

University of Melbourne Researchers

Vance Martin Author Economics

Guay Lim Author Melbourne Institute of Applied Economic and Social Research

Citation metrics

13Web of Science

Keywords

Derivative Securities

Business & Economics

Implied Volatility

Mathematical Methods in Social Sciences

Valuation Model

Social Sciences

Empirical Tests

Currency Options

Social Sciences, Mathematical Methods