Closed form option pricing under generalized Hermite expansions
Anastasiia Sokko, joint work with Gabriel Drimus, Erich Walter Farkas, and Ciprian Necula
| Year of publication: |
2018
|
|---|---|
| Authors: | Sokko, Anastasiia ; Drimus, Gabriel ; Farkas, Erich Walter ; Necula, Ciprian |
| Published in: |
Essays in behavioural financial markets and asset pricing. - Zurich. - 2018, p. 49-88
|
| Subject: | European options | generalized Hermite series expansion | risk-neutral density | tails | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011876051