Advances in Quantitive Analysis of Finance and Accounting

by Cheng-Few Lee

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...

• Format: Hardcover
• Language: English
• ISBN: 0762309695
• ISBN13: 9780762309696
• Release Date: October 2002
• Publisher: Jai Press Inc.
• Length: 280 Pages
• Weight: 1.25 lbs.
• Dimensions: 0.7" x 6.1" x 9.2"