References
- Bakshi, G., Cao, C. (2003). Risk-Neutral Kurtosis, Jumps, and Option Pricing: Evidence from 100 Mostly Actively Traded Firms on the CBOE. Manuscript. Universerty of Maryland.
- Black, F., Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy 81(3):637–654.
- Cox, J.C., Ross, S.A. (1976). The valuation of options for alternative stochastic processes. Journal of Empirical Finance 3(1):145–166.
- Hull, J. (2009). Options, Futures, and Other Derivatives. New York: Pearson Prentice Hall.
- Jondeau, E., Rockinger, M. (2000). Reading the smile: The message conveyed by methods which infer risk neutral densities. Journal of International Money and Finance 19(6):885–915.
- Kanji, G.K. (1985). A mixture model for wind shear data. Journal of Applied Statistics 12(1):49–58.
- Kapoor, S., Kanji, G. (1990). Application of the characterization theory to the mixture model. Journal of Applied Statistics 17(2):263–270.
- Kou, S.G. (2002). A jump-diffusion model for option pricing. Management Science 48(8):1086–1101.
- León, A., Mencía, J., Sentana, E. (2009). Parametric properties of semi nonparametric distributions, with applications to option valuation. Journal of Business and Economic Statistics 27(2):176–192.
- Lipton, A. (2002). The vol smile problem. Risk 15(2):6166.
- Madan, D.B., Carr, P.P., Chang, E.C. (1998). The variance gamma process and option pricing. European Financial Review 2(1):79–105.
- Mandelbrot, B.B. (1963). New methods in statistical economics. Journal of Political Economy 71(5):421–440.
- Merton, R. (1976). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics 3(1):123–144.
- Scallan, A.J. (1992). Maximum likelihood estimation for a normal/Laplace mixture distribution. The Statistician 41(2):227–231.
- Stockhammar, P., Öller, L.E. (2011). On the probability distribution of economic growth. Journal of Applied Statistics 38(9):2023–2041.
- Theodossiou, P. (2003). Option pricing when log-returns are skewed and leptokurtic. In: Eleventh Annual Conference of the Multinational Finance Society, Istanbul, MFC223.
- Zhang, J.E., Xiang, Y. (2008). The implied volatility smirk. Quantitative Finance 8(3):263–284.