Dr Pakorn (Beam) Aschakulporn

Publications

Gehricke, S. A., Aschakulporn, P., Suleman, T., & Wilkinson, B. (2023). The effect of divestment from ESG Exchange Traded Funds. Proceedings of the 6th Annual Global Research Alliance for Sustainable Finance and Investment (GRASFI) Conference. Retrieved from https://sustainablefinancealliance.org/ Conference Contribution - Published proceedings: Full paper

Li, W., Zhang, J. E., Ruan, X., & Aschakulporn, P. (2023). An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options. Proceedings of the Auckland Centre for Financial Research Derivative Markets Conference. Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz/ Conference Contribution - Published proceedings: Abstract

Aschakulporn, P. (2023, February). The Edgeworth and Gram-Charlier densities. Verbal presentation at the New Zealand Finance Colloquium, Wellington, New Zealand. Conference Contribution - Verbal presentation and other Conference outputs

Aschakulporn, P. (2022, February). Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: A Gram‐Charlier density approach. Verbal presentation at the New Zealand Finance Colloquium, [Online]. Conference Contribution - Verbal presentation and other Conference outputs

Struwig, J., Aschakulporn, P., & Zhang, J. E. (2022). The implied volatility smirk of pharmaceutical options during the COVID-19 pandemic. Proceedings of the Auckland Centre for Financial Research New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz Conference Contribution - Published proceedings: Full paper

Aschakulporn, P., & Zhang, J. E. (2022). Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: An affine jump‐diffusion approach. Journal of Futures Markets, 42(3), 365-388. doi: 10.1002/fut.22280 Journal - Research Article

Aschakulporn, P., & Zhang, J. E. (2022). Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: A Gram–Charlier density approach. Review of Derivatives Research, 25, 233-281. doi: 10.1007/s11147-022-09187-x Journal - Research Article

Aschakulporn, P., & Zhang, J. E. (2021). New Zealand whole milk powder options. Accounting & Finance, 61, 2201-2246. doi: 10.1111/acfi.12660 Journal - Research Article

Aschakulporn, P. (2021, December). Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: An affine jump-diffusion approach. Verbal presentation at the 10th International Futures and Derivatives Conference, [Online]. Conference Contribution - Verbal presentation and other Conference outputs

Aschakulporn, P. (2020, December). Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram-Charlier density approach. Verbal presentation at the 9th International Futures and Derivatives Conference, [Online]. Conference Contribution - Verbal presentation and other Conference outputs

Aschakulporn, P. (2019, February). New Zealand whole milk powder options. Verbal presentation at the 23rd New Zealand Finance Colloquium, Lincoln, New Zealand. Conference Contribution - Verbal presentation and other Conference outputs

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