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Advances in Quantitive Analysis of Finance and Accounting (Hardcover) Loot Price: R4,525
Discovery Miles 45 250
Advances in Quantitive Analysis of Finance and Accounting (Hardcover): Cheng-Few Lee

Advances in Quantitive Analysis of Finance and Accounting (Hardcover)

Cheng-Few Lee

Series: Advances in Quantitative Analysis of Finance and Accounting

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Loot Price R4,525 Discovery Miles 45 250 | Repayment Terms: R424 pm x 12*

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The purpose of this paper is to incorporate both skewness and kurtosis explicitly through extending Zhang (1994) to provide bounds for the prices of and expected payoffs for options, given the first two moments of skewness and kurtosis. The rest of this paper is organized as follows. Section II - distributions of terminal stock prices with given expected prices, standard deviation, skewness, and kurtosis under the assumption that the underlying asset price is continuously distributed. Similar to the results given in (1), the bounds derived in this paper depend on the information of the cumulative distribution of the underlying asset. However, it is shown in Section II that for each set of moments, there always exists one semi-parametric upper bound which is independent of the information of any distribution of the underlying asset. This semi-parametric upper bound has the same property as that in the case of the first two moments in Zhang (1994), that is, it is always greater than, or equal to, the distribution dependent bounds.

General

Imprint: JAI Press Inc.
Country of origin: United States
Series: Advances in Quantitative Analysis of Finance and Accounting
Release date: October 2002
First published: 2002
Editors: Cheng-Few Lee
Dimensions: 234 x 156 x 17mm (L x W x T)
Format: Hardcover
Pages: 280
ISBN-13: 978-0-7623-0969-6
Categories: Books > Business & Economics > Finance & accounting > General
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LSN: 0-7623-0969-5
Barcode: 9780762309696

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