Matches in SemOpenAlex for { <https://semopenalex.org/work/W4283211290> ?p ?o ?g. }
Showing items 1 to 68 of
68
with 100 items per page.
- W4283211290 endingPage "281" @default.
- W4283211290 startingPage "233" @default.
- W4283211290 abstract "Abstract This paper is a sequel to Aschakulporn and Zhang (J Futures Mark 42(3):365–388, 2022). The errors of the Bakshi et al. (Rev Financ Stud 16(1):101–143, 2003) risk-neutral moment estimators is studied using the Gram–Charlier density—with the skewness and excess kurtosis specified. To obtain skewness with (absolute) errors less than $$10^{-3}$$ <mml:math xmlns:mml=http://www.w3.org/1998/Math/MathML> <mml:msup> <mml:mn>10</mml:mn> <mml:mrow> <mml:mo>-</mml:mo> <mml:mn>3</mml:mn> </mml:mrow> </mml:msup> </mml:math> , the range of strikes ( $$K_{min }, K_{max }$$ <mml:math xmlns:mml=http://www.w3.org/1998/Math/MathML> <mml:mrow> <mml:msub> <mml:mi>K</mml:mi> <mml:mo>min</mml:mo> </mml:msub> <mml:mo>,</mml:mo> <mml:msub> <mml:mi>K</mml:mi> <mml:mo>max</mml:mo> </mml:msub> </mml:mrow> </mml:math> ) must contain at least 3/4 to 4/3 of the forward price and have a step size ( $$Delta K$$ <mml:math xmlns:mml=http://www.w3.org/1998/Math/MathML> <mml:mrow> <mml:mi>Δ</mml:mi> <mml:mi>K</mml:mi> </mml:mrow> </mml:math> ) of no more than 0.1% of the forward price. The range of strikes and step size corresponds to truncation and discretization errors, respectively. This is consistent to Aschakulporn and Zhang (2022) for non-volatile market periods." @default.
- W4283211290 created "2022-06-22" @default.
- W4283211290 creator A5020277265 @default.
- W4283211290 creator A5057153950 @default.
- W4283211290 date "2022-06-21" @default.
- W4283211290 modified "2023-10-01" @default.
- W4283211290 title "Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach" @default.
- W4283211290 cites W1191235515 @default.
- W4283211290 cites W1969544484 @default.
- W4283211290 cites W1978032414 @default.
- W4283211290 cites W1984031927 @default.
- W4283211290 cites W1985018066 @default.
- W4283211290 cites W1992918151 @default.
- W4283211290 cites W2033127325 @default.
- W4283211290 cites W2036000511 @default.
- W4283211290 cites W2041550349 @default.
- W4283211290 cites W2064978316 @default.
- W4283211290 cites W2077791698 @default.
- W4283211290 cites W2080852372 @default.
- W4283211290 cites W2084032796 @default.
- W4283211290 cites W2135190204 @default.
- W4283211290 cites W2151065060 @default.
- W4283211290 cites W2169446525 @default.
- W4283211290 cites W2337826013 @default.
- W4283211290 cites W2586730450 @default.
- W4283211290 cites W2946717192 @default.
- W4283211290 cites W3049112891 @default.
- W4283211290 cites W3121239128 @default.
- W4283211290 cites W3121947632 @default.
- W4283211290 cites W3123118004 @default.
- W4283211290 cites W3123321876 @default.
- W4283211290 cites W3124475197 @default.
- W4283211290 cites W3205443129 @default.
- W4283211290 cites W4240510000 @default.
- W4283211290 doi "https://doi.org/10.1007/s11147-022-09187-x" @default.
- W4283211290 hasPublicationYear "2022" @default.
- W4283211290 type Work @default.
- W4283211290 citedByCount "1" @default.
- W4283211290 countsByYear W42832112902023 @default.
- W4283211290 crossrefType "journal-article" @default.
- W4283211290 hasAuthorship W4283211290A5020277265 @default.
- W4283211290 hasAuthorship W4283211290A5057153950 @default.
- W4283211290 hasBestOaLocation W42832112901 @default.
- W4283211290 hasConcept C11413529 @default.
- W4283211290 hasConcept C41008148 @default.
- W4283211290 hasConceptScore W4283211290C11413529 @default.
- W4283211290 hasConceptScore W4283211290C41008148 @default.
- W4283211290 hasFunder F4320310371 @default.
- W4283211290 hasIssue "3" @default.
- W4283211290 hasLocation W42832112901 @default.
- W4283211290 hasOpenAccess W4283211290 @default.
- W4283211290 hasPrimaryLocation W42832112901 @default.
- W4283211290 hasRelatedWork W2051487156 @default.
- W4283211290 hasRelatedWork W2073681303 @default.
- W4283211290 hasRelatedWork W2317200988 @default.
- W4283211290 hasRelatedWork W2358668433 @default.
- W4283211290 hasRelatedWork W2376932109 @default.
- W4283211290 hasRelatedWork W2382290278 @default.
- W4283211290 hasRelatedWork W2386767533 @default.
- W4283211290 hasRelatedWork W2390279801 @default.
- W4283211290 hasRelatedWork W2748952813 @default.
- W4283211290 hasRelatedWork W2899084033 @default.
- W4283211290 hasVolume "25" @default.
- W4283211290 isParatext "false" @default.
- W4283211290 isRetracted "false" @default.
- W4283211290 workType "article" @default.