A general closed form option pricing formula

DOI10.1007/S11147-018-9144-ZMaRDI QIDQ2418424zbMATH OpenOpenAlexFDO

Authors Ciprian Necula, Walter Farkas, Gabriel G. Drimus

Publication date 3 June 2019

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-018-9144-z

zbMATH Keywords

calibrationEuropean optionsexpansion based approximation of risk-neutral densityGauss-Hermite series expansion

Mathematics Subject Classification ID

Dirichlet series, exponential series and other series in one complex variable (30B50) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A hyperbolic diffusion model for stock prices
• A jump-diffusion model for option pricing
• A note on skewness and kurtosis adjusted option pricing models under the martingale restriction
• Arbitrage-free SVI volatility surfaces
• Density approximations for multivariate affine jump-diffusion processes
• Gram-Charlier densities.
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• Nonparametric option pricing under shape restrictions
• Option pricing when underlying stock returns are discontinuous
• Polynomial processes and their applications to mathematical finance
• Retrieving risk neutral densities based on risk neutral moments through a Gram-Charlier series expansion
• The pricing of options and corporate liabilities

Cited in

(6)

• Closed-form pricing formula for foreign equity option with credit risk
• Closed-form pricing formula for exchange option with credit risk
• Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
• Pricing and hedging basket options with exact moment matching
• Nonparametric estimates of option prices via Hermite basis functions
• Valuation of vulnerable options using a bivariate Gram-Charlier approximation

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