A Monte Carlo multi-asset option pricing approximation for general stochastic processes (Q508289): Difference between revisions

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-Q508287
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+Juan C. Arismendi
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+MaRDI publication profile
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+W3122819542
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+Closed Form Approximations for Spread Options
@@ Property / cites work: Closed Form Approximations for Spread Options / rank @@
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+ANALYTIC APPROXIMATIONS FOR MULTI‐ASSET OPTION PRICING
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+A theory of non‐Gaussian option pricing
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+Gram–Charlier densities: a multivariate approach
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+Multi-asset spread option pricing and hedging
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+Q3996154
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+Option pricing when underlying stock returns are discontinuous
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+Generalized Gram-Charlier series with application to the sum of log-normal variates (Corresp.)
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+Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
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+Moment swaps
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+On Multivariate Edgeworth Expansions
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+Publication:508289