A general closed form option pricing formula
Ciprian Necula, Gabriel Drimus, Walter Farkas
| Year of publication: |
2019
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|---|---|
| Authors: | Necula, Ciprian ; Drimus, Gabriel ; Farkas, Walter |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 22.2019, 1, p. 1-40
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| Subject: | European options | Expansion based approximation of risk-neutral density | Gauss-Hermite series expansion | Calibration | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Statistische Verteilung | Statistical distribution | Black-Scholes-Modell | Black-Scholes model | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-018-9144-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012311636