The pricing of loan insurance based on the Gram-Charlier option model
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DOI: 10.1108/cfri-10-2017-0210
Abstract: Purpose The purpose of this paper is to develop a loan insurance pricing model allowing for the skewness and kurtosis existing in underlying asset returns. Design/methodology/approach Using the theory of Gram-Charlier option, the authors first… read more here.
Keywords: model; pricing; loan insurance; skewness kurtosis ... See more keywords