A moment-based analytic approximation of the risk-neutral density of American options
J.C. Arismendi and Marcel Prokopczuk
| Year of publication: |
December 2016
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|---|---|
| Authors: | Arismendi Zambrano, Juan Carlos ; Prokopczuk, Marcel |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 23.2016, 5/6, p. 409-444
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| Subject: | Multi-asset risk-neutral density | American multi-asset options | higher order moments | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Statistische Verteilung | Statistical distribution | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2017.1297726 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011704266