Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
Year of publication: |
2013
|
---|---|
Authors: | Schlögl, Erik |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 37.2013, 3, p. 611-632
|
Subject: | Hermite expansion | Semi-nonparametric estimation | Risk-neutral density | Option-implied distribution | Exotic option | Currency option | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Devisenoption | Optionsgeschäft | Option trading | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics |
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