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 derive a closed-form solution of the...

Purpose We phrase our analysis around the connectedness effects and portfolio allocation in the “Carbon-Energy-Green economy” system. Design/methodology/approach This paper utilizes the TVP-VAR method provided by Antonakakis et al . (2020) and Chatziantoniou et al . (2021), and portfolio...