The hidden martingale restriction in Gram‐Charlier option prices

C-Tier
Journal: Journal of Futures Markets
Year: 2007
Volume: 27
Issue: 6
Pages: 517-534

Authors (1)

Charles Corrado

Score contribution per author:

1.009 = (α=2.02 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Technical Details

RePEc Handle
repec:wly:jfutmk:v:27:y:2007:i:6:p:517-534
Journal Field
Finance
Author Count
1
Added to Database
2026-02-08