The hidden martingale restriction in Gram‐Charlier option prices

Charles Corrado

Journal of Futures Markets, 2007, vol. 27, issue 6, 517-534

Abstract: 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 reduction in parameter space for the Gram–Charlier expansion coefficients. The resulting restriction is invisible in the option price. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27: 517–534, 2007

Date: 2007
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