This article proposes a closed pricing formula for European options when the return of the
underlying asset follows extended normal distribution, that is, any different degrees of …

Edgeworth binomial trees were applied to price contingent claims when the underlying
return distribution is skewed and leptokurtic, but with the limitation of working only for a …

After the seminal paper of Jarrow and Rudd (1982), several authors have proposed to use
different statistical series expansion to price options when the risk-neutral density is …

Within a marking-to-model framework, this research computes the bank's capital charge for
credit and operational risks of loan commitments at Basel-2 fixed audit date. This is done in …

A Gram-Charlier distribution has a density that is a polynomial times a normal density. The
historical connection between actuarial science and the Gram-Charlier expansions goes …

After the seminal paper of Jarrow and Rudd (1982), several authors have proposed to use
different statistical series expansion to price options when the risk-neutral density is …

As alternative to Basel-2 coefficients, this research proposes markup-based risk weights for
short-term credit commitments. To do this, Basel-2 credit-conversion and principal-risk …

In addition to the substantial body of theoretical research on the valuation of contingent
claims, many empirical investigations on the pricing of derivatives have been undertaken in …

We study methods that can potentially be used for estimating the value of European options
on individual stocks in markets in where such products are not actively traded. The study is …

Theoretical models applied to option pricing should take into account the empirical
characteristics of the underlying financial time series. In this paper, we show how to price …