A moment-based analytic approximation of the risk-neutral density of American options (Q4585684)
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scientific article; zbMATH DE number 6933344
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| English | A moment-based analytic approximation of the risk-neutral density of American options |
scientific article; zbMATH DE number 6933344 |
Statements
A moment-based analytic approximation of the risk-neutral density of American options (English)
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6 September 2018
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multi-asset risk-neutral density
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American multi-asset options
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higher order moments
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0.7437819838523865
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0.7416415810585022
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0.7401784658432007
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0.7382898926734924
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0.738153338432312
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