Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance
收藏NBER1997-03-01 更新2025-01-04 收录
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https://www.nber.org/papers/w5976
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资源简介：
It is widely acknowledged that many financial markets exhibit a considerably greater degree of kurtosis (and sometimes also skewness) than is consistent with the Geometric Brownian Motion model of Black and Scholes (1973). Among the many alternative models that have been proposed in this context,
提供机构：
美国国家经济研究局
创建时间：
1997-03-01
