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Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach.
- Source :
- Review of Derivatives Research; Oct2022, Vol. 25 Issue 3, p233-281, 49p
- Publication Year :
- 2022
-
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 , the range of strikes ( K min , K max ) must contain at least 3/4 to 4/3 of the forward price and have a step size ( Δ K ) 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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 13806645
- Volume :
- 25
- Issue :
- 3
- Database :
- Complementary Index
- Journal :
- Review of Derivatives Research
- Publication Type :
- Academic Journal
- Accession number :
- 159303789
- Full Text :
- https://doi.org/10.1007/s11147-022-09187-x