Volume 25, Issue 3 | Review of Derivatives Research

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Volume 25, Issue 3

October 2022

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4 articles in this issue

Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach
Pakorn Aschakulporn
Jin E. Zhang
OriginalPaper Open access 21 June 2022 Pages: 233 - 281
CMS spread options in quadratic Gaussian model
Parviz Rakhmonov
Firuz Rakhmonov
OriginalPaper 10 September 2022 Pages: 283 - 291
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Matthias Muck
OriginalPaper Open access 18 September 2022 Pages: 293 - 314
Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index
Philip Stahl
OriginalPaper Open access 18 September 2022 Pages: 315 - 339