A general closed form option pricing formula

DOI10.1007/s11147-018-9144-zzbMath1414.91384OpenAlexW3124601919MaRDI QIDQ2418424

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

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

Related Items (1)

Pricing and hedging basket options with exact moment matching

Cites Work

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• Option pricing when underlying stock returns are discontinuous
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