A moment-based analytic approximation of the risk-neutral density of American options

DOI10.1080/1350486X.2017.1297726zbMath1396.91715OpenAlexW3121130905MaRDI QIDQ4585684

Marcel Prokopczuk, Juan C. Arismendi

Publication date: 6 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2017.1297726

zbMATH Keywords

higher order momentsAmerican multi-asset optionsmulti-asset risk-neutral density

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
• Multivariate truncated moments
• Density approximations for multivariate affine jump-diffusion processes
• Moment swaps
• The implied volatility smirk
• Multi-asset spread option pricing and hedging
• The Valuation of American Options on Multiple Assets
• ANALYTIC APPROXIMATIONS FOR MULTI‐ASSET OPTION PRICING
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Option pricing when underlying stock returns are discontinuous
• Gram-Charlier densities.