Order estimates for the exact Lugannani-Rice expansion (Q263055)
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scientific article; zbMATH DE number 6562609
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| English | Order estimates for the exact Lugannani-Rice expansion |
scientific article; zbMATH DE number 6562609 |
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Order estimates for the exact Lugannani-Rice expansion (English)
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4 April 2016
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saddlepoint approximation
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Lugannani-Rice formula
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order estimates
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asymptotic expansion
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stochastic volatility models
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0.8352072
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0.8331389
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0.8312336
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0.8266681
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0.8264117
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0.8250425
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0.8228382
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