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

Social Sciences, Mathematical Methods

Social Sciences

Currency Options

Valuation Model

Empirical Tests

Implied Volatility

Business & Economics

Mathematical Methods in Social Sciences

Derivative Securities