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Advances in Quantitive Analysis of Finance and Accounting Vol: 10


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Product Details
Format:
Hardback
ISBN:
9780762309696
Published:
11 Oct 2002
Publisher:
Emerald Group Publishing Limited
Dimensions:
280 pages - 156 x 234 x 17mm
Series:
Advances in Quantitative Analysis of Finance and Accounting

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The purpose of this paper is to incorporate both skewness and kurtosis explicitly through extending Zhang (1994) to provide bounds for the prices of and expected payoffs for options, given the first two moments of skewness and kurtosis. The rest of this paper is organized as follows. Section II distributions of terminal stock prices with given expected prices, standard deviation, skewness, and kurtosis under the assumption that the underlying asset price is continuously distributed. Similar to the results given in (1), the bounds derived in this paper depend on the information of the cumulative distribution of the underlying asset, However, it is shown in Section II that for each set of moments, there always exists one semi-parametric upper bound which is independent of the information of any distribution of the underlying asset. This semi-parametric upper bound has the same property as that in the case of the first two moments in Zhang (1994), that is, it is always greater than or equal to the distribution dependent bounds.
1. The determinants of current and long-term components of CEO compensation (K. Sen). 2. Option pricing and higher order moments (S.D. Young et al.) 3. Additional evidence on abnormal returns and return volatility around stock splits (M. Impson). 4. A fuzzy set approach in international transfer pricing problems (W. Kwak et al.). 5. Who bears the RBIP (Risk-Based Insurance Premiums) tax? (S.W. Lee). 6. Are going-concern audit opinions a self-fulfilling prophecy? (C. Pryor, J.V. Terza). 7. Bounds for option prices and the expected payoffs with skewness and kurtosis (C.-F. Lee). 8. Capital budgetting in continous time, complete market economy (R.-R. Chen, C.-F. Lee). 9. Financial analysis of planning and forecasting for Amheuser-Busch companies (J.S. Rich). 10. What causes memory in multi-period contracts? (B. Srinidhi, K. Sen).

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