Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications (Q5861401)
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scientific article; zbMATH DE number 7482642
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| English | Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications |
scientific article; zbMATH DE number 7482642 |
Statements
Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications (English)
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1 March 2022
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saddlepoint approximation
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tail expectation
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cumulant generating function
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Laplace integral
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non-Gaussian base
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option on integrated variance
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0.8287118077278137
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0.8266677856445312
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0.7902165651321411
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0.788640022277832
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0.7880809903144836
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