If a probability distribution is sufficiently close to a normal distribution, its density can be
approximated by a Gram/Charlier Series A expansion. In option pricing, this has been used …

A hidden martingale restriction is developed for option pricing models based on Gram–
Charlier expansions of the normal density function. The restriction is hidden behind a …

This paper presents a comparison of alternative option pricing models based neither on
jump-di usion nor stochastic volatility data generating processes. We assume either a …

En este trabajo se analiza el comportamiento, tanto dentro como fuera de la muestra, de
varios modelos basados en diferentes distribuciones para la modelización del activo …

This chapter analyzes the empirical performance of alternative option pricing models using
Black and Scholes (1973) as a benchmark. Specifically, we consider the Heston (1993) and …