Yin-Hei Cheng

Scotiabank

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Pricing Financial Derivatives by Gram-Charlier Expansions

Posted: 13 May 2013
Yin-Hei Cheng and Tony S. Wirjanto
Scotiabank and University of Waterloo - School of Accounting and Finance

Abstract:

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Cumulants, moments, swaption prices, CIR2 Model, CIR Model, Brennan-Schwarz's Model, Heston's Model