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Keywords: Gram-Charlier option
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Journal Articles
Journal:
China Finance Review International
China Finance Review International (2018) 8 (4): 425–440.
Published: 20 March 2018
...Yaojie Zhang; Yu Wei; Benshan Shi Purpose The purpose of this paper is to develop a loan insurance pricing model allowing for the skewness and kurtosis existing in underlying asset returns. Design/methodology/approach Using the theory of Gram-Charlier option, the authors first derive a closed...
