Research Article

Parametric pricing of higher order moments in S&P500 options

  1. G. C. Lim1,
  2. G. M. Martin2,
  3. Professor V. L. Martin1,*

Article first published online: 8 DEC 2004

DOI: 10.1002/jae.762

Issue

Journal of Applied Econometrics

Journal of Applied Econometrics

Volume 20, Issue 3, pages 377–404, March/April 2005

Additional Information

How to Cite

Lim, G. C., Martin, G. M. and Martin, V. L. (2005), Parametric pricing of higher order moments in S&P500 options. J. Appl. Econ., 20: 377–404. doi: 10.1002/jae.762

Author Information

  1. 1

    Department of Economics, University of Melbourne, Australia

  2. 2

    Department of Econometrics and Business Statistics, Monash University, Australia

*Department of Economics, University of Melbourne, Victoria 3010, Australia.

Publication History

  1. Issue published online: 14 APR 2005
  2. Article first published online: 8 DEC 2004
  3. Manuscript Revised: 30 SEP 2003
  4. Manuscript Received: 1 MAR 2002

Funded by

  • Australian Research Council.

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